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Fundamental Indexing Around the World

Walkshäusl, Christian and Lobe, Sebastian (2010) Fundamental Indexing Around the World. Review of Financial Economics 19 (3), pp. 117-127.

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Abstract

Using an international sample from 1982 to 2008, we investigate the performance of global and 50 country-specific (28 developed and 22 emerging) fundamentally weighted portfolios compared to capitalization-weighted portfolios. First, we establish that superior performance of domestic portfolios diminishes considerably when applying a bootstrap procedure for robust performance testing. Second, ...

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Item type:Article
Date:August 2010
Additional Information (public):ACATIS VALUE PRIZE 2009 (First Prize)
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
doi:10.1016/j.rfe.2010.02.001DOI
Classification:
NotationType
G11Journal of Economics Literature Classification
G14Journal of Economics Literature Classification
G15Journal of Economics Literature Classification
Keywords:Fundamental indexing; Value premium; Performance evaluation
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:16669
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