title: Ð Ð°Ð·ÑÐ°Ð±Ð¾ÑÐºÐ° Ð¼ÐµÑÐ¾Ð´Ð¸ÐºÐ¸ ÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ð½Ð° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð¼Ð¾Ð¼ÐµÐ½ÑÑÐ¼-ÑÑÑÐµÐºÑÐ°
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð±Ð°ÐºÐ°Ð»Ð°Ð²ÑÐ°
titleType: Subtitle
title: Development of methodology of formation of investment portfolio based on price momentum effect
Creators: name: Ð¡ÑÑÐ³Ð°Ð¹, ÐÐ²Ð°Ð½
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2019
Subjects: Ð¼Ð¾Ð¼ÐµÐ½ÑÑÐ¼ ÑÑÑÐµÐºÑ
Ð¸Ð½ÐµÑÑÐ¸Ð¾Ð½Ð½ÑÐ¹ ÑÑÑÐµÐºÑ
Ð³Ð¸Ð¿Ð¾ÑÐµÐ·Ð° ÑÑÑÐµÐºÑÐ¸Ð²Ð½Ð¾Ð³Ð¾ ÑÑÐ½ÐºÐ°
Ð¼Ð¾Ð¼ÐµÐ½ÑÑÐ¼ Ð¿Ð¾ÑÑÑÐµÐ»Ð¸
ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¸Ð¹ ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐ¹ ÑÑÐ½Ð¾Ðº
momentum effect
inertive effect
effective market hypothesis
portfolio momentum
russian stock market

description: Ð¢Ð°ÐºÐ¾Ðµ ÑÐ²Ð»ÐµÐ½Ð¸Ðµ ÐºÐ°Ðº Ð¸Ð½ÐµÑÑÐ¸Ð¾Ð½Ð½ÑÐ¹ ÑÑÑÐµÐºÑ Ð² ÑÐµÐ½Ð°Ñ Ð°ÐºÑÐ¸Ð¹ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ Ð½Ð° Ð±Ð¸ÑÐ¶Ðµ Ð¼Ð½Ð¾Ð³Ð¸Ðµ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°ÑÐµÐ»Ð¸ Ð² ÑÐ²Ð¾Ð¸Ñ ÑÐ°Ð±Ð¾ÑÐ°Ñ Ð¾ÑÐ½Ð¾ÑÑÑ Ðº Ð½ÐµÑÑÑÐµÐºÑÐ¸Ð²Ð½Ð¾ÑÑÐ¸ ÑÑÐ½ÐºÐ°.
Ð ÑÐ°Ð±Ð¾ÑÐµ Ð² Ð¿ÐµÑÐ²ÑÑ Ð¾ÑÐµÑÐµÐ´Ñ Ð±ÑÐ»Ð¸ Ð¸Ð·ÑÑÐµÐ½Ñ Ð¾ÑÐ½Ð¾Ð²Ð½ÑÐµ ÑÑÐ°ÑÑÐ¸ Ð¿Ð¾ ÑÐµÐ¼Ðµ Ð¸Ð½ÐµÑÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ ÑÑÑÐµÐºÑÐ°, Ð±ÑÐ»Ð¸ ÑÐ°ÑÑÐ¼Ð¾ÑÑÐµÐ½Ñ Ð¾ÑÐ½Ð¾Ð²Ð½ÑÐµ Ð¼ÐµÑÐ¾Ð´Ð¾Ð»Ð¾Ð³Ð¸Ð¸ Ð´Ð»Ñ ÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ Ð¿Ð¾ÑÑÑÐµÐ»ÐµÐ¹. ÐÐ¾Ð»ÑÑÐ¸Ð½ÑÑÐ²Ð¾ Ð¸ÑÑÐ¾ÑÐ½Ð¸ÐºÐ¾Ð² ÑÑÑÐ»Ð°ÑÑÑÑ Ð½Ð° ÐºÐ»Ð°ÑÑÐ¸ÑÐµÑÐºÑÑ ÑÑÐ°ÑÑÑ Jagadeesh &amp; S. Titman (1993), Ð² ÐºÐ¾ÑÐ¾ÑÐ¾Ð¹ ÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð»Ð¸ÑÑ Ð¿Ð¾ÑÑÑÐµÐ»Ð¸ Â«Ð¿Ð¾Ð±ÐµÐ´Ð¸ÑÐµÐ»ÐµÐ¹Â» Ð¸ Â«Ð¿ÑÐ¾Ð¸Ð³ÑÐ°Ð²ÑÐ¸ÑÂ» Ð¿Ð¾ ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐ°Ð¼ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸ Ð°ÐºÑÐ¸Ð¹. Ð Ð¿ÑÐ¾ÑÐµÑÑÐµ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð¼ÐµÑÐ¾Ð´Ð¾Ð»Ð¾Ð³Ð¸ÑÐµÑÐºÐ¾Ð¹ Ð±Ð°Ð·Ñ Ð±ÑÐ»Ð¾ Ð²ÑÑÐ²Ð»ÐµÐ½Ð¾ Ð¿ÑÐ¾Ð¸Ð·Ð²ÐµÐ´ÐµÐ½Ð¸Ðµ ÑÐµÐ±Ð°Ð»Ð°Ð½ÑÐ¸ÑÐ¾Ð²ÐºÐ¸ Ð¿Ð¾ÑÑÑÐµÐ»Ñ. Ð Ð¿ÑÐ¾ÑÐ¸Ð²Ð¾Ð²ÐµÑ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸ÑÐ¼, Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð½ÑÐ¼ ÑÐ°Ð½ÐµÐµ, Ð² Ð¼Ð¾ÐµÐ¹ ÑÐ°Ð±Ð¾ÑÐµ Ð±ÑÐ»Ð° Ð¿ÑÐµÐ´Ð»Ð¾Ð¶ÐµÐ½Ð° Ð¸Ð½Ð°Ñ Ð¼ÐµÑÐ¾Ð´Ð¾Ð»Ð¾Ð³Ð¸Ñ.
Ð Ð¿ÑÐ¾ÑÐµÑÑÐµ Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±ÑÐ»Ð¸ ÑÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ñ Ð¿Ð¾ÑÑÑÐµÐ»Ð¸ Ð±ÑÐ¼Ð°Ð³, Ð¿ÑÐ¾Ð´ÐµÐ¼Ð¾Ð½ÑÑÑÐ¸ÑÐ¾Ð²Ð°Ð²ÑÐ¸Ñ Ð¿Ð¾Ð»Ð¾Ð¶Ð¸ÑÐµÐ»ÑÐ½ÑÑ Ð½ÐµÐ´ÐµÐ»ÑÐ½ÑÑ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÑ Ð½Ð° Ð¿ÑÐ¾ÑÑÐ¶ÐµÐ½Ð¸Ð¸ 26 Ð½ÐµÐ´ÐµÐ»Ñ. ÐÐ° Ð¾ÑÐ½Ð¾Ð²Ð°Ð½Ð¸Ð¸ Ð¿Ð¾Ð»ÑÑÐµÐ½Ð½ÑÑ Ð´Ð°Ð½Ð½ÑÑ Ð±ÑÐ» Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½ ÑÐµÐ³ÑÐµÑÑÐ¸Ð¾Ð½Ð½ÑÐ¹ Ð°Ð½Ð°Ð»Ð¸Ð· Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ Ð¼Ð¾Ð´ÐµÐ»Ð¸ Â«ÑÑÑÐ¾Ð¹Â» Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸, Ð¿Ð¾ Ð¸ÑÐ¾Ð³Ð°Ð¼ ÐºÐ¾ÑÐ¾ÑÐ¾Ð³Ð¾ ÑÐ¾Ð»ÑÐºÐ¾ Ð¾Ð´Ð¸Ð½ ÑÐµÐºÑÐ¾Ñ ÑÐ¸Ð¼Ð¸Ð¸ Ð¸ Ð½ÐµÑÑÐµÑÐ¸Ð¼Ð¸Ð¸ Ð¿ÑÐ¾Ð´ÐµÐ¼Ð¾Ð½ÑÑÑÐ¸ÑÐ¾Ð²Ð°Ð» ÑÑÐ°ÑÐ¸ÑÑÐ¸ÑÐµÑÐºÐ¸ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð°Ð»ÑÑÑ Ð½Ð° Ð¿ÐµÑÐ¸Ð¾Ð´Ðµ Ð¾Ñ 2009 Ð¿Ð¾ 2016 Ð³Ð¾Ð´Ñ. Ð Ð°Ð·Ð¼ÐµÑ Ð°Ð»ÑÑÑ ÑÐ¾ÑÑÐ°Ð²Ð¸Ð» Ð² ÑÑÐµÐ´Ð½ÐµÐ¼ 0,22% Ð² Ð½ÐµÐ´ÐµÐ»Ñ, Ð° ÑÐµÐ³ÑÐµÑÑÐ¸Ð²Ð½Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»Ñ Ð¾ÐºÐ°Ð·Ð°Ð»Ð°ÑÑ ÑÑÐ°ÑÐ¸ÑÑÐ¸ÑÐµÑÐºÐ¸ Ð·Ð½Ð°ÑÐ¸Ð¼Ð¾Ð¹.
ÐÐ¾ Ð²ÑÐ¾ÑÐ¾Ð¹ ÑÐ°ÑÑÐ¸ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°ÑÐµÐ»ÑÑÐºÐ¾Ð¹ ÑÐ°Ð±Ð¾ÑÑ Ð±ÑÐ» ÑÐ¾ÑÑÐ°Ð²Ð»ÐµÐ½ Ð±Ð¾Ð»ÐµÐµ Ð´Ð¸Ð²ÐµÑÑÐ¸ÑÐ¸ÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð½ÑÐ¹ Ð¿Ð¾ÑÑÑÐµÐ»Ñ, ÑÐ¾ÑÑÐ¾ÑÑÐ¸Ð¹ Ð¸Ð· Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ Â«ÑÑÐ¿ÐµÑÐ½ÑÑÂ» Ð°ÐºÑÐ¸Ð¹, Ð´ÐµÐ¼Ð¾Ð½ÑÑÑÐ¸ÑÐ¾Ð²Ð°Ð²ÑÐ¸Ñ Ð½Ð°Ð¸Ð±Ð¾Ð»ÑÑÑÑ ÑÑÐµÐ´Ð½ÑÑ Ð½ÐµÐ´ÐµÐ»ÑÐ½ÑÑ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÑ Ð² 2009 Ð³Ð¾Ð´Ñ. Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ ÑÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð½ÑÐ¹ Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ð¿ÑÐ¾Ð´ÐµÐ¼Ð¾Ð½ÑÑÑÐ¸ÑÐ¾Ð²Ð°Ð» Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÑ Ð²ÑÑÐµ Ð¸Ð½Ð´ÐµÐºÑÐ° ÐÐÐÐ.
Ð Ð·Ð°ÐºÐ»ÑÑÐ¸ÑÐµÐ»ÑÐ½Ð¾Ð¹ ÑÐ°ÑÑÐ¸ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±ÑÐ»Ð¾ Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¾ ÑÑÐ°Ð²Ð½ÐµÐ½Ð¸Ðµ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸ Ð¸Ð½Ð´ÑÑÑÑÐ¸Ð°Ð»ÑÐ½ÑÑ Ð¸Ð½Ð´ÐµÐºÑÐ¾Ð² Ð¸ ÑÐ¸ÑÐ¾ÐºÐ¾Ð³Ð¾ Ð¸Ð½Ð´ÐµÐºÑÐ° ÐÐÐÐ, Ð° ÑÐ°ÐºÐ¶Ðµ ÑÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð½ÑÑ Ð¿Ð¾ÑÑÑÐµÐ»ÐµÐ¹ Ð¿ÑÐ¾ÑÐ¸Ð² Ð¸Ð½Ð´ÐµÐºÑÐ° ÐÐÐÐ Ñ 2009 Ð¿Ð¾ 2016 Ð³Ð¾Ð´Ñ. Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ ÑÐ´Ð°Ð»Ð¾ÑÑ Ð¾Ð±Ð½Ð°ÑÑÐ¶Ð¸ÑÑ ÑÑÐ°ÑÐ¸ÑÑÐ¸ÑÐµÑÐºÐ¸ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð°Ð»ÑÑÑ Ð½Ð° 1% ÑÑÐ¾Ð²Ð½Ðµ Ð·Ð½Ð°ÑÐ¸Ð¼Ð¾ÑÑÐ¸ Ð¿ÑÐ¸ Ð¿Ð¾ÑÑÑÐ¾ÐµÐ½Ð¸Ð¸ ÑÐµÐ³ÑÐµÑÑÐ¸Ð¸ Ð´Ð»Ñ Ð¿Ð¾ÑÑÑÐµÐ»Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ ÑÐµÐºÑÐ¾ÑÐ° ÑÐ¸Ð¼Ð¸Ð¸ Ð¿ÑÐ¾ÑÐ¸Ð² ÐÐÐÐ (6,7%). Ð¡Ð»ÐµÐ´Ð¾Ð²Ð°ÑÐµÐ»ÑÐ½Ð¾, Ñ Ð½Ð°Ñ Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ Ð¾ÑÐ½Ð¾Ð²Ð°Ð½Ð¸Ð¹ Ð¿Ð¾Ð»Ð°Ð³Ð°ÑÑ, ÑÑÐ¾ Ð¸Ð½ÐµÑÑÐ¸Ð¾Ð½Ð½ÑÐ¹ ÑÑÑÐµÐºÑ Ð¿ÑÐ¸ÑÑÑÑÑÐ²Ð¾Ð²Ð°Ð» Ð² ÑÐ¸Ð¼Ð¸ÑÐµÑÐºÐ¾Ð¼ ÑÐµÐºÑÐ¾ÑÐµ Ð½Ð° Ð¿ÑÐ¾ÑÑÐ¶ÐµÐ½Ð¸Ð¸ Ñ 2009- 2016.
description: Such a phenomenon as the inertial effect in the stock prices of companies on the stock exchange, many researchers in their work refer to market inefficiency.
In the work, first of all, the main articles on the inertial effect were studied, the main methodologies for the formation of portfolios were considered. Most of the sources refer to the classic article Jagadeesh &amp; S. Titman (1993), in which portfolios of âwinnersâ and âlosersâ were formed based on the stock returns. In the process of analyzing the methodological base, the product of portfolio rebalancing was revealed. In contrast to the studies carried out earlier, in my work I proposed a different methodology, a different variant of the search for the inertia effect within the framework of certain sectors of the Russian economy.
In the process of the study, portfolios of papers were formed that showed a positive weekly yield for 26 weeks. Based on the data obtained, a regression analysis was carried out using the ârawâ yield model, following which only one sector of chemistry and petrochemistry demonstrated a statistically significant alpha for the period from 2009 to 2016. The size of the alpha was staves on average 0,22% per week, and the regressive model was statistically significant.
In the second part of the research, a more diversified portfolio consisting of the most âsuccessfulâ stocks, which demonstrated the highest average weekly yield in 2009, was made. As a result, the portfolio formed showed a yield above the MICEX index.
In the final part of the study, a comparison was made between the industrial indices and the wide MICEX index, as well as the formed portfolios against the MICEX index from 2009 to 2016. As a result, it was possible to detect statistically significant alpha at a 1% level of significance when building a regression for the portfolio of chemical sector companies against the MICEX (6.7%). Consequently, we have enough reason to believe that the inertial effect was present in the chemical sector for a period of 2009-2016.