Fundamental Indexing Around the World

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

36 Pages Posted: 22 Mar 2009 Last revised: 13 Oct 2011

Christian Walkshäusl

University of Regensburg - Center of Finance

Sebastian Lobe

University of Maine - Maine Business School

Date Written: May 25, 2011

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.

Keywords: Fundamental Indexing, Value Premium, Performance Evaluation

JEL Classification: G11, G14, G15

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: https://ssrn.com/abstract=1364450

Christian Walkshäusl (Contact Author)

University of Regensburg - Center of Finance ( email )

Regensburg
Germany

Sebastian Lobe

University of Maine - Maine Business School ( email )

Orono, ME 04469
United States
+1 (207) 581-1949 (Phone)

Paper statistics

Downloads
437
Rank
52,299
Abstract Views
1,888