Fundamental Indexing Around the World
University of Regensburg - Center of Finance
University of Maine - Maine Business School
May 25, 2011
Review of Financial Economics, Vol. 3, No. 19, pp. 117-127, 2010
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.
Number of Pages in PDF File: 36
Keywords: Fundamental Indexing, Value Premium, Performance Evaluation
JEL Classification: G11, G14, G15
Date posted: March 22, 2009 ; Last revised: October 13, 2011
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