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| Author: | Haensly, P.J. |
| Title: | How did the Dow do today? |
| Journal: | Journal of asset management
2003 : DEC, VOL. 4:4, p. 258-276 |
| Index terms: | Estimation Indexation Stock markets |
| Language: | eng |
| Abstract: | Daily change in the Dow Jones Industrial Average (DJIA) is a biased and imprecise measure of actual change in the US stock market, whether measured as capital appreciation or total return, despite high correlations with other market indexes. Because it omits cash dividends, the Dow underestimates daily market total return. It is shown in this paper, however, that the index also understates daily market capital appreciation because it is less diversified than the market. |
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