- 期刊
APPLICATION OF FAMA-FRENCH FIVE FACTOR MODEL ON THE RUSSIAN MARKET
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.
參考文獻
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