The effectiveness of applying beta-coefficient modifications when calculating returns on shares in Russian companies

Valentina Zozulya (), Evgeny Sokolov (), Evgeny Kostyrin () and Sergey Korolev ()
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Valentina Zozulya: Bauman Moscow State Technical University, Moscow, Russia
Evgeny Sokolov: Bauman Moscow State Technical University, Moscow, Russia
Evgeny Kostyrin: Bauman Moscow State Technical University, Moscow, Russia
Sergey Korolev: Bauman Moscow State Technical University, Moscow, Russia

Eastern Journal of European Studies, 2021, vol. 12(1), 31-52

Abstract: This article analyzes the effectiveness of various beta coefficient modifications in forecasting on the Russian stock market. Objective: To test the hypothesis of the superiority of modified beta coefficients in forecast accuracy. Methods: Calculating and comparing the stock returns of ten companies that play a key role in the Russian economy based on three beta coefficient modifications: classic, Monkhouse, and two beta. The criteria were used for verifying sample homogeneity in order to test the hypothesis that modified beta coefficients produce more accurate forecasting. Results: The analysis showed that, in most cases, none of the three models obtained relevant results for the Russian companies. None of the modifications tested can be recognized with high confidence as more accurate than traditional beta coefficients. Conclusions: In the contemporary Russian stock market, the CAPM does not allow one to produce satisfactory forecasts on stock returns.

Keywords: beta; capital asset pricing model; modified beta; stock returns; test of homogeneity of samples (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:jes:journl:y:2021:v:12:p:31-52

DOI: 10.47743/ejes-2021-0102

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