Application Of Fama-French Five Factor Model On The Russian Market

Nikolai Manushkin ()
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Nikolai Manushkin: National Research University Higher School of Economics

HSE Working papers from National Research University Higher School of Economics

Abstract: This paper tests the applicability of various asset pricing models: Capital Pricing Model (CAPM), 3-factor and 5-factor Fama-French models to the Russian stock market, which has not been not well studied. We capture specific factors of this market, create several market portfolios, and use bootstrapped GRS test (Gibbons, Ross, & Shanken, 1989) for models’ quality test. The 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

Keywords: Asset Pricing Models; Fama-French Factor Model; GRS (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2024
New Economics Papers: this item is included in nep-cis
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Published in WP BRP Series: Financial Economics / FE, May 2024, pages - 23

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