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Finance and Credit

42(522) - 2012 November

Compare models and CAPM Famy-Frencha on stock market

Vol. 18, Iss. 42, NOVEMBER 2012

Available online: 14 November 2012

Subject Heading: Stock market

JEL Classification:

Fedorova E.A. PhD in Economics, Associate Professor of department "Financial and Investment Management", the Financial University under the Government of the Russian Federation (the Correspondence Finance and Economic Institute)
ecolena@mail.ru

Sivak A.R. Engineer of department "Continuing Education", the National Research Nuclear University (MEPhI)
aplaksa@mail.ru

In the article comparison of two models of pricing of assets in the Russian stock market is offered: CAPM and Famy-Frencha. The companies were grouped depending on their size (market capitalization) and the relation of balance and market cost. Addition of two factors - the size of the companies and the relation of balance and market cost in the CAPM model can improve it considerably. It is noted that the three-factorial model of Famy-Frencha explains profitability of assets in the Russian stock market better, than CAPM.

Keywords: Fama-French model, CAPM model, portfolio

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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