Home  Journals  Financial Analytics: Science and Experience  12(150) - 2013 March

Testing market risk, liquidity, size and higher order co-moments on the Russian stock market

Available online: 27 March 2013

Subject Heading: Securities market

JEL Classification: 

In the article the importance of liquidity (trading volume), the size of the company, the moments of higher order (asymmetry and kurtosis) is investigated at an explanation of demanded profitability of own capital in the Russian market. It is concluded that in view of existence of price anomalies in the market it is expedient to consider the listed factors which allow to estimate the additional types of risk unaccounted by a beta factor.

Keywords: modified model Famy and French, Russian stock market, return on capital, liquidity, size

View all articles of issue

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

Journal current issue

Vol. 17, Iss. 1 March 2024

Archive