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Article

8.2. Тестирование практики построения прогнозного бета-коэффициента в конструкции САРМ с учетом низкой ликвидности ценных бумаг на российском рынке

In this study we analyze a problem of the account of low liquidity of securities at carrying out of the fundamental analysis in the Russian capital market. The discount rate for prediction cash flow is a important factor in target price calculation. Standard САРМ as a model to explain assets pricing has restrictions in practical application. One of the problems of application - low liquidity of stocks in emerging markets. In this study we test on 72 companies of RTS stock exchange the technique of formation of the beta-factor, offered by Aton Investing Group and applied by a number of analyticals of the investment companies of the Russian market. This technique tries to consider both the size of the company, and a level of liquidity of its stocks.