Abstract

http://ssrn.com/abstract=1364450
 
 

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Fundamental Indexing Around the World


Christian Walkshäusl


University of Regensburg - Center of Finance

Sebastian Lobe


University of Regensburg; Center of Finance

May 25, 2011

Review of Financial Economics, Vol. 3, No. 19, pp. 117-127, 2010

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.

Number of Pages in PDF File: 36

Keywords: Fundamental Indexing, Value Premium, Performance Evaluation

JEL Classification: G11, G14, G15

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Date posted: March 22, 2009 ; Last revised: October 13, 2011

Suggested Citation

Walkshäusl, Christian and Lobe, Sebastian, Fundamental Indexing Around the World (May 25, 2011). Review of Financial Economics, Vol. 3, No. 19, pp. 117-127, 2010. Available at SSRN: http://ssrn.com/abstract=1364450

Contact Information

Christian Walkshäusl (Contact Author)
University of Regensburg - Center of Finance ( email )
Regensburg
Germany
Sebastian Lobe
University of Regensburg ( email )
Universitaetsstrasse 31
Regensburg D-93053
Germany
+49 (0)941 943-2727 (Phone)
+49 (0)941 943-4979 (Fax)
HOME PAGE: http://www-cgi.uni-regensburg.de/Fakultaeten/WiWi/roeder/lobe.htm
Center of Finance ( email )
Regensburg
Germany
HOME PAGE: http://www.center-of-finance.de/en/pd-dr-sebastian-lobe
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