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<p>In the wake of recurring crises, traditional factor-based asset pricing models often fail to capture the return dynamics in emerging markets. Therefore, this study evaluates the empirical validity of multi-factor models for explaining the variability in portfolio returns of non-financial firms listed on the Moscow stock exchange (MSE) for the period spanning from July 2010 to June 2023. For empirical estimation, this study employs the Fama and MacBeth two-step estimation procedure. Findings reveal that market premium consistently exhibits a statistically significant and positive effect on excess portfolio returns, specifically during normal market conditions, the Russian economic crisis, the COVID-19 pandemic, and the Russia-Ukraine invasion. Findings further reveal that the size premium exhibits mixed effects: for instance, findings document significant and negative associations with small portfolios during the Russian economic crisis and the COVID-19 pandemic. Furthermore, findings document the positive effect of value premium on the portfolio returns during normal market conditions; however, this effect turns negative and becomes statistically insignificant during periods of crisis. Similarly, profitability and investment premiums exhibit a weak and insignificant effect on portfolio returns. Additionally, for model applicability, this study employs the Gibbons, Ross, and Shanken (GRS) test, and the findings reveal that the Fama and French five-factor model (FF5FM) exhibits the lowest value (mean-alpha), indicating that it outperforms other competing models, namely the capital asset pricing model (CAPM) and the Fama and French three-factor model (FF3FM). These findings hold significant implications for regulatory bodies and policymakers aiming to optimize portfolio strategies under normal and extreme market conditions.</p>

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Evaluating the resilience of asset pricing models during crises: evidence from Russia’s economic recession, COVID-19 pandemic, and the Russia–Ukraine war

  • 期刊论文

  • 发表日期：

    2026年6月1日

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  • Naveed Khan

摘要

In the wake of recurring crises, traditional factor-based asset pricing models often fail to capture the return dynamics in emerging markets. Therefore, this study evaluates the empirical validity of multi-factor models for explaining the variability in portfolio returns of non-financial firms listed on the Moscow stock exchange (MSE) for the period spanning from July 2010 to June 2023. For empirical estimation, this study employs the Fama and MacBeth two-step estimation procedure. Findings reveal that market premium consistently exhibits a statistically significant and positive effect on excess portfolio returns, specifically during normal market conditions, the Russian economic crisis, the COVID-19 pandemic, and the Russia-Ukraine invasion. Findings further reveal that the size premium exhibits mixed effects: for instance, findings document significant and negative associations with small portfolios during the Russian economic crisis and the COVID-19 pandemic. Furthermore, findings document the positive effect of value premium on the portfolio returns during normal market conditions; however, this effect turns negative and becomes statistically insignificant during periods of crisis. Similarly, profitability and investment premiums exhibit a weak and insignificant effect on portfolio returns. Additionally, for model applicability, this study employs the Gibbons, Ross, and Shanken (GRS) test, and the findings reveal that the Fama and French five-factor model (FF5FM) exhibits the lowest value (mean-alpha), indicating that it outperforms other competing models, namely the capital asset pricing model (CAPM) and the Fama and French three-factor model (FF3FM). These findings hold significant implications for regulatory bodies and policymakers aiming to optimize portfolio strategies under normal and extreme market conditions.