Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

5(143) - 2013 February

Empirical analysis of asset pricing models in the Russian stock market

Vol. 6, Iss. 5, FEBRUARY 2013

Available online: 7 February 2013

Subject Heading: Stock market

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Aistov A.V. PhD of Physical and Mathematical Sciences, Associate Professor of department «Economic Theory and Econometrics», the National Research University - the Higher School of Economics, Nizhny Novgorod
aaistov@hse.ru

Kuzmichev K.E. Lecturer of department “Financial Management”, the National Research University - Higher School of Economics, Nizhny Novgorod
kkuzmitchev@hse.ru

The main aim of study is to investigate which model explains variation in portfolio returns over the period from June 2000 to May 2012 better: CAPM, Fama - French three factor model or Fama - French - Carhart model. Authors concluded that on analyzed data explaining ability of Fama - French model is better.

Keywords: CAPM, Fama - French model, asset pricing

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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