Research on the profitability of shares of oil and gas companies using multifactor models

The article addresses the analysis of the dynamics of returns on stocks of Russian oil and gas companies, including PJSC «NOVATEK». It thoroughly examines the impact of various economic and market factors on stock returns. The study primarily explores the applicability of the one-factor model, the Carhart model, and multifactor models in explaining stock returns dynamics. The analysis includes a correlation matrix, multiple regression analysis, and an assessment of the influence of macroeconomic factors. The study was conducted based on monthly data for the period from January 2010 to December 2021 (before SMO). The research demonstrates that for most companies, the significant factors include market factor, liquidity, company size and oil prices. For NOVATEK, in particular, the significant factors include market factor and MSCI index. The findings of the study highlight the interest for analyzing and forecasting of the stock market dynamics in the Russian Oil and Gas sector, and as well indicate the need to consider social and political factors for accurate forecasting of stock return dynamics.