+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»






Economic Analysis: Theory and Practice

Statistical analysis of stable fundamental anomalies in stock pricing on the Russian market

Vol. 23, Iss. 1, JANUARY 2024

Received: 2 November 2023

Received in revised form: 12 November 2023

Accepted: 1 December 2023

Available online: 30 January 2024


JEL Classification: C23, C58, G12

Pages: 91–112


Vyacheslav V. KOROTKIKH Voronezh State University (VSU), Voronezh, Russian Federation


Subject. The article considers stable anomalies in the dynamics of stock prices on the Russian stock market, which are caused by specific characteristics of issuing companies.
Objectives. The aim is to perform a cross-sectional analysis of excess returns of stock portfolios reflecting new stable fundamental anomalies of the Russian stock market.
Methods. The study employs the data of accounting (financial) statements of issuers. I considered the groups of indicators related to operational efficiency, expectation of slowdown in operational efficiency, threat of insolvency (bankruptcy) of the issuer, and the size of capital investments of issuers. The groups of indicators identified four working hypotheses on consideration of corresponding systematic risk factors in the prices of financial instruments. Analytical procedures were carried out in the RStudio development environment. The sample population covers the period from June 2012 to December 2021.
Results. I tested the working hypotheses and formed special portfolios, the excess profitability of which simulates systematic risk factors associated with specific characteristics of issuing companies. The test of risk factors for redundancy, using auxiliary regressions and the Sharpe ratio for various combinations of risk factors, demonstrated that the risk factor associated with operational efficiency of issuers can be considered as redundant, since it is fully explained by other risk factors. The risks of slowing the growth of efficiency and the risk of bankruptcy of the issuer in the Russian stock market are investigated for the first time.
Conclusions. The revealed price anomalies contribute to the development of theoretical and empirical prerequisites for factor investment strategies in the Russian stock market. The findings may help investors to increase portfolio strategy’s profitability in the Russian stock market.

Keywords: common risk factors, bankruptcy, issuer, equity trading, financial stability


  1. Lintner J. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 1965, vol. 47, iss. 1, pp. 13–37. URL: Link
  2. Sharpe W.F. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 1964, vol. 19, iss 3, pp. 425–442. URL: Link
  3. Fama E.F., French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 1993, vol. 33, iss. 1, pp. 3–56. URL: Link90023-5
  4. Fama E.F., French K.R. The Cross Section of Expected Stock Returns. The Journal of Finance, 1992, vol. 47, iss. 2, pp. 427–465. URL: Link
  5. Haugen R.A., Baker N.L. Commonality in the determinants of expected stock returns. Journal of Financial Economics, 1996, vol. 41, iss. 3, pp. 401–439. URL: Link00868-F
  6. Cohen R.B., Gompers P.A., Vuolteenaho T. Who Underreacts to Cash-flow News? Evidence from Trading between Individuals and Institutions. HBS Finance Working Paper, 2001, no. 01-085. URL: Link
  7. Fairfield P.M., Whisenant J.S., Yohn T.L. Accrued earnings and growth: Implications for future profitability and market mispricing. The Accounting Review, 2003, vol. 78, iss. 1, pp. 353–371. URL: Link
  8. Titman S., Wei K.C.J., Xie F. Capital investments and stock returns. Journal of Financial and Quantitative Analysis, 2004, vol. 39, iss. 4, pp. 677–700. URL: Link
  9. Richardson S.A., Sloan R.G. External Financing and Future Stock Returns. Rodney L. White Center for Financial Research Working Paper, 2003, no. 03-03. URL: Link
  10. Fama E.F., French K.R. Profitability, investment and average returns. Journal of Financial Economics, 2006, vol. 82, iss. 3, pp. 491–518. URL: Link
  11. Fama E.F., French K.R. Size, value, and momentum in international stock returns. Journal of Financial Economics, 2012, vol. 105, iss. 3, pp. 457–472. URL: Link
  12. Fama E.F., French K.R. International tests of a five-factor asset pricing model. Journal of Financial Economics, 2017, vol. 123, iss. 3, pp. 441–463. URL: Link
  13. Dirkx P., Peter F.J. The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market. Schmalenbach Business Review, 2020, vol. 72, iss. 4, pp. 661–684. URL: Link
  14. Griffin J.M. Are the Fama and French Factors Global or Country Specific? The Review of Financial Studies, 2002, vol. 15, iss. 3, pp. 783–803. URL: Link
  15. Feltham G.A., Ohlson J.A. Residual earnings valuation with risk and stochastic interest rates. The Accounting Review, 1999, vol. 74, iss. 2, pp. 165–183. URL: Link
  16. Asness C.S., Frazzini A., Pedersen L.H. Quality minus junk. Review of Accounting Studies, 2019, vol. 24, iss. 1, pp. 34–112. URL: Link
  17. Frazzini A., Pedersen L.H. Betting against beta. Journal of Financial Economics, 2014, vol. 111, iss. 1, pp. 1–25. URL: Link
  18. Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 2002, vol. 5, iss. 1, pp. 31–56. URL: Link00024-6
  19. Ang A., Hodrick R.J., Yuhang Xing, Xiaoyan Zhang. The cross-section of volatility and expected returns. The Journal of Finance, 2006, vol. 61, iss. 1, pp. 259–299. URL: Link
  20. Korotkikh V.V. [Illiquidity risk and equity trading performance: A statistical analysis]. Ekonomicheskii analiz: teoriya i praktika = Economic Analysis: Theory and Practice, 2021, vol. 20, iss. 9, pp. 1774–1794. (In Russ.) URL: Link
  21. Endovitskii D.A., Korotkikh V.V. [Regime shifts in equity risk premium: International evidence]. Vestnik Voronezhskogo gosudarstvennogo universiteta. Seriya: Ekonomika i upravlenie = Proceedings of Voronezh State University. Series: Economics and Management, 2022, no. 1, pp. 3–27. (In Russ.) URL: Link
  22. Carhart M.M. On persistence in mutual fund performance. The Journal of Finance, 1997, vol. 52, iss. 1, pp. 57–82. URL: Link
  23. Amihud Y., Noh J. The Pricing of the Illiquidity Factor’s Systematic Risk with Time-varying Premium. Journal of Financial Markets, 2020. URL: Link
  24. Bin Guo, Wei Zhang, Yongjie Zhang, Han Zhang. The five-factor asset pricing model tests for the Chinese stock market. Pacific-Basin Finance Journal, 2017, vol. 43, pp. 84–106. URL: Link
  25. Fama E.F., French K.R. Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance, 1995, vol. 50, iss. 1, pp. 131–155. URL: Link
  26. MacKinlay A.C. Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics, 1995, vol. 38, iss. 1, pp. 3–28. URL: Link00808-E

View all articles of issue


ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

Journal current issue

Vol. 23, Iss. 2
February 2024