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- W4386824296 abstract "The study examines the risk premium modeling for three major Russian stock market indices. The key feature is accounting for the asymmetry effect in the risk premium via the asymmetric GARCH‐M model. The empirical analysis provided evidence favoring a significant leverage effect in the risk premium in the Russian market. However, the effect sign is contrary to the hypothesis and the empirical evidence in the American market. These findings are probably explained by the violation of the efficient market hypothesis and the presence of a high proportion of irrational investors in the Russian stock market." @default.
- W4386824296 created "2023-09-19" @default.
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- W4386824296 date "2023-01-01" @default.
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- W4386824296 title "Modeling the risk premium in the Russian stock market considering the asymmetry effect" @default.
- W4386824296 doi "https://doi.org/10.22394/1993-7601-2023-71-5-19" @default.
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