Statistical analysis of stable fundamental anomalies in stock pricing on the Russian market

Abstract

Subject. The article considers stable anomalies in the dynamics of stock prices on the Russian stock market, which are caused by specific characteristics of issuing companies. Objectives. The aim is to perform a cross-sectional analysis of excess returns of stock portfolios reflecting new stable fundamental anomalies of the Russian stock market. Methods. The study employs the data of accounting (financial) statements of issuers. I considered the groups of indicators related to operational efficiency, expectation of slowdown in operational efficiency, threat of insolvency (bankruptcy) of the issuer, and the size of capital investments of issuers. The groups of indicators identified four working hypotheses on consideration of corresponding systematic risk factors in the prices of financial instruments. Analytical procedures were carried out in the RStudio development environment. The sample population covers the period from June 2012 to December 2021. Results. I tested the working hypotheses and formed special portfolios, the excess profitability of which simulates systematic risk factors associated with specific characteristics of issuing companies. The test of risk factors for redundancy, using auxiliary regressions and the Sharpe ratio for various combinations of risk factors, demonstrated that the risk factor associated with operational efficiency of issuers can be considered as redundant, since it is fully explained by other risk factors. The risks of slowing the growth of efficiency and the risk of bankruptcy of the issuer in the Russian stock market are investigated for the first time. Conclusions. The revealed price anomalies contribute to the development of theoretical and empirical prerequisites for factor investment strategies in the Russian stock market. The findings may help investors to increase portfolio strategy’s profitability in the Russian stock market.