Does fundamental indexation lead to better risk adjusted returns? New evidence from Australian Securities Exchange
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Fundamental_Indexation_AAF_Revision_2_Jan_2013-1.pdf. |
Description
We investigate the claims of superiority of fundamental indexation strategy over capitalisation-weighted indexation by using data for Australian Securities Exchange (ASX) listed stocks. Whilst our results are in line with the outperformance observed in other geographical markets, we find that the excess returns from fundamental indexation in Australian market are much higher. On a rolling 5-year basis, the fundamental index always outperforms the capitalisation-weighted index. Our results suggest that superior performance of fundamental indexation could not be entirely attributed to value, size, or momentum effects. The outperformance persists even after adjusting for slightly higher transaction costs related to turnover.
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| ID Code: | 57577 | ||
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| Item Type: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
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| Measurements or Duration: | 30 pages | ||
| Keywords: | Capitalisation Index, Fundamental Index, Passive Management, Valuation | ||
| DOI: | 10.1111/acfi.12016 | ||
| ISSN: | 0810-5391 | ||
| Pure ID: | 32666263 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | Consult author(s) regarding copyright matters | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 24 Feb 2013 22:24 | ||
| Last Modified: | 02 Mar 2024 10:08 |
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