کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084376 | 1477902 | 2017 | 47 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fundamental indexation revisited: New evidence on alpha
ترجمه فارسی عنوان
مستند سازی اساسی مجدد: شواهد جدید در مورد آلفا
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study proposes indexing strategies representative of the equity market and based on readily available accounting information. In contrast to the previous literature, we discard balance sheet variables and instead develop two indices that revolve solely around income statement and dividend measures. We find that these indices outperformed the FTSE 100 by 3% on an annual basis over the last 25Â years, whilst delivering similar or lower volatility. The constructed indices overlap by 90% with the FTSE 100, in terms of their total market capitalisation and constituent members. They have positive and significant alphas in 3- and 4-factor performance attribution models, showing that the performance cannot be explained by value, size, market beta or momentum tilts alone.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 51, May 2017, Pages 1-15
Journal: International Review of Financial Analysis - Volume 51, May 2017, Pages 1-15
نویسندگان
Mirco Balatti, Chris Brooks, Konstantina Kappou,