Subject. The article addresses risk premium on share price of companies undergoing digital transformation of their business, and investigates the stock market of Russian companies. Objectives. The aim is to develop a methodological approach to estimating the digital premium in Russian companies' share prices to design factor investing strategies, given the level of digital maturity of issuers. Methods. The main method of the study is an analysis of return on equity of over fifty domestic issuers from eleven sectors of the Russian economy, taking into account the distribution of issuers into two portfolios, according to their level of digital maturity. Results. As a result of the analysis, we created a unique digital maturity index and rated domestic issuers based on their level of digital maturity. This index enables to compare companies by the level of digital maturity and assess the effectiveness of digital transformation. Conclusions. The study found higher returns for shareholders of digitally transformed companies. Meanwhile, a number of companies still have a negative attitude towards the digitalization process due to high cost of transformation processes and risks. The proposed risk factor of digital premium provides a good explanation of reasons for excessive return on shares of Russian companies, and a more accurate approach to asset pricing on the Russian stock market.
Keywords: risk premium, share price, digitalization, digital transformation, factor investing
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