Empirical and analytical base for CAPITAL ASSETS PRICING MODEL application in Russia
The subject of the study were the financial characteristics of the Russian Stock Market and the represented public companies. The complex calculations necessary for Capital Assets Pricing Model (CAPM) application in the study of Russian companies by appraisers, investors, and researchers were performed. 5- and 2-year betas (historical, and adjusted for leverage and cash) were calculated, based on weekly total stock returns for 217 companies. Historical bets were calculated for cases when the market was represented by IMOEX, MCFTR, MOEXBMI, SP500, Solactive Global Equity Large Cap Select Index (five bet groups in total). In addition, 2-year betas were calculated for four periods, and the specifics of their variability were described. A fly project study of the small cap premium was carried out. The market risk premium was determined. The main sources of information for this study were the Moscow Exchange and Yahoo Finance. The calculations were based on the classical provisions of CAPM and mathematical statistics. The information provided allows appraisers, investors, researchers to determine the return required for a particular type of business. The maximum detail of information allows one to calculate the bet according to well-known domestic, foreign or own classifiers.