Исследование моментум-эффекта в динамике цен высоколиквидных акций на российском рынке ценных бумаг

Финансовый журнал. 2023. Т. 15. № 1. С. 58–73.

Nazarova V., Лещев С. И.

In this paper, the momentum effect is viewed as a price anomaly whereby portfolios of assets of the same return class exhibit a systematic outperformance in profit generation relative to a given benchmark (e.g., a market index). The study contributes to a better understanding of the momentum effect in the Russian stock market. Using data from the Russian stock market over the period 2019-2021, 16 momentum strategies were analysed and the risks of momentum strategies related to market volatility were studied.  The results show that the impulse strategy generates positive returns even when transaction costs are included, has lower volatility 

Keywords: российский фондовый рынок, коэффициент Шарпа, портфель ценных бумаг, моментум-эффект, Russian securities market, портфельный моментум-эффект, momentum effect, price momentum effect, Sharpe coefficient, active portfolio strategy