Subject. The article addresses the digital premium in stock prices as a risk factor in multi-factor asset pricing models in the Swedish and Russian stock markets. Objectives. The purpose is to assess the level of digital premium as a risk factor in multi-factor pricing models, by using the corporate digital maturity index developed by L. Blixen-Fineke and his colleagues, and E.I. Gibadullin, based on data from Swedish and Russian issuers, respectively. Methods. The main research method is the analysis of financial and non-financial statements of 26 Swedish public companies and 51 domestic issuers from 11 sectors of the Russian economy. Results. The analysis revealed statistical significance of digital premium factor in the domestic stock market, as well as an incipient trend of excess of historical return of the investment portfolio of shares of companies with a high level of digital maturity over the portfolio of shares of companies with a low level of digital maturity. These results enable to modify current multi-factor asset pricing models to improve their explanatory power. Conclusions. The revealed empirical evidence of the existence of price anomaly in the form of digital premium creates the necessary evidence base for the development of research aimed at the evolution of multi-factor asset pricing models in the domestic stock market. The findings create a foundation for the development of factor-based investing on the Russian stock market, based on selection of company shares for the investment portfolio, considering the level of digital development of companies.
Keywords: digitalization, digital maturity index, digital premium, factor investing
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