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

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

Author(s): Oleg Deev, Galina Mukhacheva
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita
Keywords: CAPM; multi-factor asset pricing models; time-varying beta; emerging market;
Summary/Abstract: 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 multifactor asset pricing models with time-varying risk factor measurements to predict returns of Russian stocks.

  • Page Range: 403-408
  • Page Count: 6
  • Publication Year: 2014
  • Language: English