CAPM Modifications for Emerging Markets. Analysis of Alternative CAPM Beta Specifications

Equity risk premium in CAPM construction with downside risk measures in Russian capital market: from traditional unconditional CAPM to conditional three- and four-moment CAPM (T.Teplova, E.Shutova)

[Our research involves firm level testing of the expanded models in the CAPM construction on the Russian stock market (50 companies which constitute 95% of capitalization of Moscow Interbank Currency Exchange (MICEX)) during the period since 2004 to 2010. The expanded models overcome the background of the returns distribution normality and instationarity of the market’s behavior. Moreover, using the sample of daily and weekly returns our study examines the preference of transition classical two-moment CAPM model to the expanded higher-moment models (mean-variance-skewness and mean-variance-skewness-kurtosis) and to the models with downside risk measures.]

Testing Feasibility of Measuring Market Risk by Predicted Beta with Liquidity Adjustment (T.Teplova, V.Rodina)

[The present paper assesses the CAPM predicted beta coefficient introduced by Aton Investment Company.  The alternative approach to calculating beta dismisses company’s industry-specific characteristics while accentuating company’s size (measured by market capitalization) and liquidity (measured by the free-float coefficient). A shift from historical to predicted beta comes from the fact that low liquidity of most Russian stocks results in rather low historical beta coefficients obtained by regressing on historical data.]

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