Full text in Russian. Executive summary in English is available at pp.37.

Sharpe-Lintner’s and Black’s CAPM versions as prevailing CAPM versions and their applicability in the Russian stock market are reviewed. Demonstration of applicability of the CAPM in the Russian stock market would imply that investors’ behavior is rational and the Russian...

Applicability of the Black’s two-factor CAPM version in the Russian stock market is tested. Selecting explicit factors influencing risky assets return allows not only to evaluate the degree of Russian market’s effectiveness but also to determine structure of non-observable market...