Testing the CAPM for the Russian Stock Market: A Multivariate GARCH Approach

Student: Zekokh Timur

Supervisor: Dmitry Malakhov

Educational Programme: Economics (Bachelor)

Final Grade: 10

Year of Graduation: 2016

Calculation of cost of equity is one of the most urgent problems of corporate finance. Even now, the debate continues regarding the accuracy of risk assessment techniques and the construction of the required return models. In this study the classic CAPM, Zero-Beta CAPM, DCAPM, and ECAPM are tested on the Russian stock market for 2006-2015 using the multivariate GARCH model on daily, weekly and monthly returns.

Full text (added May 12, 2016)

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