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| Tekijä: | Jun, D. Malkiel, B.G. |
| Otsikko: | New paradigms in stock market indexing |
| Lehti: | European Financial Management
2008 : JAN, VOL. 14:1, p. 118-126 |
| Asiasana: | stock markets stock exchanges capital assets pricing models |
| Vapaa asiasana: | price indices |
| Kieli: | eng |
| Tiivistelmä: | This paper analyses the performance of Fundamental Indexing (Trademark)(as: "FI"). It is shown that the source of "FI"'s recent excellent performance is not from its ability to systematically arbitrage mispricing in a noisy market but from increasing the portfolio's exposure to stocks with low price-to-book values and with small capitalizations. It is found that "FI" does not produce a positive alpha when its excess returns are explained by the Fama-French three-factor model of CAPM beta, the value premium and the size premium. It is also shown that it is possible to construct a portfolio of exchange-traded funds with similar factor loadings that can replicate, and sometimes, even outperform "FI". However, there are some cautions for investors. |
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