Template-Type: ReDIF-Article 1.0
Author-Name: Varvara V. Nazarova
Author-Email: nvarvara@list.ru
Author-Workplace-Name: HSE University, St. Petersburg, Russian Federation
Author-Name: Sergei I. Leshchev
Author-Email: sileschev@edu.hse.ru
Author-Workplace-Name: HSE University, St. Petersburg, Russian Federation
Title: Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market
Abstract: In this paper, the momentum effect is viewed as a price anomaly wherein portfolios of assets of the same return class exhibit systematic outperformance in earnings 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 analyzed 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 taken into account, has lower volatility and lower tail risk compared to the market index.
Classification-JEL: G11, G15
Keywords: momentum effect, momentum strategy, asset portfolio, Russian stock market, Sharpe ratio, return on assets
Journal: Finansovyj žhurnal — Financial Journal
Pages: 58-73
Issue:  1
Year: 2023
Month: February
DOI: 10.31107/2075-1990-2023-1-58-73
File-URL: https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2023/1/statii/04_1_2023_v15.pdf
File-Format: Application/pdf 
Handle: RePEc:fru:finjrn:230104:p:58-73