{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T15:53:40Z","timestamp":1792079620871,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Do the return anomalies documented in developed markets exist on the Moscow Exchange once the number of tests is taken into account? Under a protocol fixed before estimation, I test implementations of 25 price-, trading-and payout-based predictors on MOEX shares (holding months 2012:01-2026:09; share data free of survivorship bias, depositary receipts covered only in part) against a ladder of seven significance criteria. Seven characteristics clear |t| &amp;gt; 1.96 in the predicted direction. At the nominal 5% level the Romano-Wolf stepdown with a stationary bootstrap retains five: four closely related measures of intermediate-horizon momentum-nearness to the 52-week high, six-and twelvemonth and residual momentum-and a high-volume premium. Because the bootstrap test is mildly liberal at this sample length, I also calibrate its level by simulation; at the calibrated level of 0.03 only the four momentum signals remain. The high-volume premium is fragile: it fails the calibrated level, several robustness variants and trading costs. Correcting the 2013 trading data of 22 shares leaves these results unchanged. The four momentum signals are largely redundant rather than four independent discoveries. In this sample the bootstrap critical value (3.39) exceeds both the Harvey-Liu-Zhu hurdle and the normal-theory Bonferroni bound. The implemented low-risk, size, liquidity-level, skewness, seasonality and dividend-yield signals do not survive, but premia with annual Sharpe ratios below about one would often go undetected in a sample of this length. Among liquid shares last month's winners keep winning. Momentum remains significant net of estimated spread costs, but its capacity in equal-weighted form is small. After the 2022 exclusion of foreign investors no premium changes significantly once the tests are corrected for multiplicity, but the confidence intervals are wide.<\/jats:p>","DOI":"10.2139\/ssrn.7615183","type":"posted-content","created":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T15:40:54Z","timestamp":1792078854000},"source":"Crossref","is-referenced-by-count":0,"title":["How Many Factors Are Real on the Moscow Exchange? A Pre-Specified Multiple-Testing Study of the Russian Factor Zoo"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-8929-4848","authenticated-orcid":true,"given":"Sergey","family":"Nefedov","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T15:40:54Z","timestamp":1792078854000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7615183"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7615183","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}