题名

APPLICATION OF FAMA-FRENCH FIVE FACTOR MODEL ON THE RUSSIAN MARKET

DOI

10.6292/AFPF.202212_(10).0009

作者

Nikolai Manushkin；Man Wang

关键词

Asset Pricing Models ； Fama-French Factor Model ； Gibbons Ross Shanken (GRS)

期刊名称

Advances in Financial Planning and Forecasting

卷期/出版年月

10期（2022 / 12 / 01）

页次

211 - 232

内容语文

英文
中文摘要

This paper tests the applicability of various asset pricing models: Capital Asset Pricing Model (CAPM), 3-factor, and 5-factor Fama-French models on the Russian stock market, which was not well investigated. We capture specific factors of this market, form several market portfolios and use bootstrapped GRS test (Gibbons, Ross, & Shanken, 1989) for models' quality test. Empirical result shows that the 5-factor model fits the Russian market better than the other models, the value factor is redundant and the size factor also loses its significance. We also make 8 industry portfolios to test the consistency of the findings on different types of investment portfolios by orthogonalization method.
主题分类 社會科學 > 經濟學
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