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@inproceedings{1205416,
author = {Mukhacheva, Galina and Deev, Oleg},
address = {Brno},
booktitle = {European Financial Systems 2014. Proceedings of the 11th International Scientific Conference},
editor = {Deev, O; Kajurova, V; Krajicek, J},
keywords = {CAPM; multi-factor asset pricing models; time-varying beta; emerging market},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-7153-7},
pages = {403-408},
publisher = {Masaryk University},
title = {Cross-Sectional Examination of Classic Asset Pricing Models on the Russian Stock Market},
year = {2014}
}
TY - JOUR
ID - 1205416
AU - Mukhacheva, Galina - Deev, Oleg
PY - 2014
TI - Cross-Sectional Examination of Classic Asset Pricing Models on the Russian Stock Market
PB - Masaryk University
CY - Brno
SN - 9788021071537
KW - CAPM
KW - multi-factor asset pricing models
KW - time-varying beta
KW - emerging market
N2 - Emerging stock markets are generally considered the highly profitable opportunity for global investors. However, their relative instability, especially disclosed in high volatility and lower trading volumes, makes the forecast of returns on these markets extremely difficult. In this paper, we test the forecast accuracy of classic asset pricing models, namely capital asset pricing model (CAPM) and several specifications of multi-factor asset pricing models with time-varying risk factor measurements to predict returns of Russian stocks. CAPM with time-varying beta is found to be the most successful, but still highly unreliable model among classic asset pricing models to explain excess returns of Russian stocks.
ER -
MUKHACHEVA, Galina a Oleg DEEV. Cross-Sectional Examination of Classic Asset Pricing Models on the Russian Stock Market. In Deev, O; Kajurova, V; Krajicek, J. \textit{European Financial Systems 2014. Proceedings of the 11th International Scientific Conference}. Brno: Masaryk University, 2014, s.~403-408. ISBN~978-80-210-7153-7.
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