Factors affecting the profitability of long-term investments in stocks and bonds of Russian issuers

Факторы, влияющие на доходность долгосрочных вложений в акции и облигации российских эмитентов

Alexander Abramov, Alexander Radygin and Maria Chernova

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: Analysis of open-ended mutual investment bond funds held for the period 2011-2018. The choice of benchmarks is complicated by a small number of indices and short intervals of their calculation by suppliers of indices. To assess the effectiveness of portfolios, two approaches were used: one-factor model (analogue of CAPM) and a multi-factor model (analogue of Carhart and Fam-French models). The multifactor model, along with the market premium, includes factors representing the market risk of equity, the risk of duration and the risk of default. The stock market factor is an indicator of general economic conditions, and other risk factors are risks in the bond market. Most of the premiums for the studied risk factors are significantly different from zero. For all premiums, high volatility and variability of signs in separate periods means the manifestation of the main feature of factor strategies - the need to follow them for a long time.

Pages: 20 pages
Date: 2019-02
New Economics Papers: this item is included in nep-cis and nep-fmk
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