Cross-Sectional Examination of Classic Asset Pricing Models  on the Russian Stock Market

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Authors	MUKHACHEVA Galina DEEV Oleg
Year of publication	2014
Type	Article in Proceedings
Conference	European Financial Systems 2014. Proceedings of the 11th International Scientific Conference
MU Faculty or unit	Faculty of Economics and Administration
Citation
Field	Management and administrative
Keywords	CAPM; multi-factor asset pricing models; time-varying beta; emerging market
Description	Emerging stock markets are generally considered the highly profitable opportunity for global investors. However, their relative instability, especially disclosed in high volatility and lower trading volumes, makes the forecast of returns on these markets extremely difficult. In this paper, we test the forecast accuracy of classic asset pricing models, namely capital asset pricing model (CAPM) and several specifications of multi-factor asset pricing models with time-varying risk factor measurements to predict returns of Russian stocks. CAPM with time-varying beta is found to be the most successful, but still highly unreliable model among classic asset pricing models to explain excess returns of Russian stocks.
Related projects:	Analýza a predikce vývoje cen finančních a investičních nástrojů