DO FUNDAMENTAL INDEXES PRODUCE HIGHER RISK-ADJUSTED RETURNS THAN MARKET CAP INDEXES? EVIDENCE FOR CHINESE STOCK MARKET

Simple item page
dc.contributor.authorBizhanova, Madina
dc.contributor.authorGabayev, Asker
dc.date.accessioned2024-08-01T07:46:31Z
dc.date.available2024-08-01T07:46:31Z
dc.date.issued2023
dc.description.abstractThe proponents of fundamental indexing (‘FI’) theorize that a traditional value weighted portfolio is characterized by a return drag due to overweighting overvalued stocks and underweighting undervalued stocks. A number of empirical studies found an extra return for an FI strategy compared to a value weighted benchmark. However, the critics argue that the primary driver of FI’s superior performances reflects not the drag avoided but a style shift towards value strategy. Hence the analytical comparison of an FI alternative should control for a style shift when testing for the drag effect. The 2018 study of an FI strategy for the U.S. stock market by De Moor, Liu & Sercu employs a vigintile portfolio analysis to control for style shift and do not find any economically or statistically significant benefit from drag avoidance. I employ the conventional factor analysis and the proposed double-sorted bucket analysis to test the FI strategy using Chinese stock market data. Like others before, I conclude that the FI’s extra return is primarily due to its value bias rather than avoidance of the drag effect.
dc.identifier.citationBizhanova, M., Gabayev, A. (2024). Do Fundamental Indexes Produce Higher Risk-Adjusted Returns Than Market Cap Indexes? Evidence For Chinese Stock Market. Nazarbayev University Graduate School of Business
dc.identifier.urihttps://nur.nu.edu.kz/handle/123456789/8170
dc.language.isoen
dc.publisherNazarbayev University Graduate School of Business
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United Statesen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/
dc.subjectType of access: Gated
dc.titleDO FUNDAMENTAL INDEXES PRODUCE HIGHER RISK-ADJUSTED RETURNS THAN MARKET CAP INDEXES? EVIDENCE FOR CHINESE STOCK MARKET
dc.typeMaster`s thesis

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
3a. Madina Bizhanova_520977_assignsubmission_file_Madina Thesis Dec 3.pdf
Size:
503.35 KB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
6.28 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

02. Master's Thesis