Cap-Weighted All Stock Indices, Developed Markets
35 Pages Posted: 31 Jan 2015
Date Written: January 30, 2015
Abstract
The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI World Developed Market index as of December 31, 2014. We filter out country level data for illiquid and very small companies and construct indexes that represent most of the market capitalization of each country. We then combine each one of the country indexes based on the total U.S. dollar market capitalizations of each country to create a developed market index. We believe that this index represents the overall common stock investment opportunity set in developed markets and that the investment returns of this index represents the investment returns of all investors in developed markets.
Keywords: Asset pricing, capitalization weighted index, developed markets
JEL Classification: G10, G11, G12, G14, G15
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