STOCK MARKET PRICING: CAPITAL ASSET RETURNS MODEL (CAPM) AND FAMA-FRENCH MODEL

ЦЕНООБРАЗОВАНИЕ НА ФОНДОВОМ РЫНКЕ: МОДЕЛЬ ДОХОДНОСТИ КАПИТАЛЬНЫХ АКТИВОВ (CAPM) И МОДЕЛЬ ФАМЫ-ФРЕНЧА

Grigoriy G. Sidorenko (Сидоренко Г.Г.), Oleg G. Sidorenko (Сидоренко О.Г.) and Dmitriy S. Termosesov (Термосесов Д.С.)
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Grigoriy G. Sidorenko (Сидоренко Г.Г.): Financial University under the Government of the Russian Federation
Oleg G. Sidorenko (Сидоренко О.Г.): Moscow Higher Combined Arms Command Orders of Zhukov, Lenin and the October Revolution of the Red Banner School of the Ministry of Defense of the Russian Federation
Dmitriy S. Termosesov (Термосесов Д.С.): Financial University under the Government of the Russian Federation

State and Municipal Management Scholar Notes, 2022, vol. 2, 135-141

Abstract: Subject / topic: This article examines the issues of pricing in the stock market in order to help institutional investors to preserve their own capital and increase it based on the study of capital asset return models (CAPM) and Fama-French model. The tasks of collecting the necessary statistical data, analyzing them, as well as applying the model to assess various assets and analyzing the accuracy of their application have been solved. The use of this model makes it possible to reliably predict the prices of assets on the stock market, however, it does not guarantee 100% accuracy, and therefore, its use still entails the risks of capital loss. Goals / objectives: The aim of the study is to compare the accuracy of the studied models, as well as to identify their advantages and disadvantages. Methodology: The methodological basis of the study is made up of both general and particular scientific methods of cognition. Used such methods as induction and deduction, methods of comparison and generalization. Results / conclusions: The authors found that the use of the five-factor Fama-French model makes it possible to fairly reliably predict asset prices in the stock market, but does not guarantee 100% accuracy, so its use still entails the risk of capital loss.

Keywords: pricing; profitability; asset; Fama-French model; model CAPM (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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