Empirical study of CAPM variations on the Russian stock market

Abstract

The dissertation presents an empirical validation for CAPM, using Sharpe-Lintner, Black, DCAPM, Entropy variance and CVaR deviation frameworks on the Russian stock market. The author tests five different CAPM-like models on a sample of weekly returns of the Industry portfolios of Russian stocks over the period of 2005-2012. The primary contribution of this study is checking explanatory power of the models and comparing different frameworks with each other. The methodology is based on regression analysis. Sharpe-Lintner model and Black model prove to have low explanatory power for the considered period. The study confirms the feasibility of employing DCAPM and CVaR deviation CAPM selectively since these models display better explanatory power in a specific condition. Corresponding managerial applications and possible directions for future research are provided in conclusions.