ECONOMETRIC ASSESSMENT OF RISK PREMIUMS IN THE RUSSIAN STOCK MARKET

Abstract

Reasonable investing is impossible without assessing risk premiums. In finance, the following set of risk premiums is commonly used: market risk premium, size premium, value premium, profitability premium, investments premium and momentum premium. In addition, in the context of the current trend in the development of the global financial system towards responsible investment, a responsibility premium can be distinguished. The importance of studying responsibility premium in the Russian stock market is due to the desire of the Bank of Russia to transform it towards greater responsibility and introduce ESG factors into the activities of institutional and retail investors. The purpose of this article is to identify risk premiums that are statistically significant for the Russian stock market. The study period: from 01.12.2011 to 31.12.2020. As a result of applying the two-step econometric Fama-MacBeth procedure, which includes time series regression and panel regression, it is concluded that market risk premium and momentum premium (at the level of 1%), as well as profitability premium (at the level of 5%) showed statistical significance during the period under consideration. In addition, these premiums are positive. The remaining premiums, including responsibility premium, did not show statistical significance. According to the results, only three premiums should be used when constructing asset pricing model in the Russian stock market. This result has practical implications in the context of investing in Russian stocks. An independent result is the assessment of responsibility premium for Russian shares. The statistical insignificance of responsibility premium allows us to make a reasonable assumption that the introduction of ESG factors into the activities of Russian institutional and retail investors will not reduce the effectiveness of their investment decisions.