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Fundamental indexing around the world

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  • Walkshäusl, Christian
  • Lobe, Sebastian
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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, after controlling for data snooping biases and the value premium, we find evidence of outperforming global fundamental indexes, but no compelling evidence of outperforming country-specific indexes.

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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 19 (2010)
    Issue (Month): 3 (August)
    Pages: 117-127

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    Handle: RePEc:eee:revfin:v:19:y:2010:i:3:p:117-127

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    Web page: http://www.elsevier.com/locate/inca/620170

    Related research

    Keywords: Fundamental indexing Value premium Performance evaluation;

    References

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    Cited by:
    1. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.

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