Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8954576 | Finance Research Letters | 2018 | 7 Pages |
Abstract
We analyze the characteristics of 22 leading equity indices and discuss common biases relative to their respective national equity markets. Findings demonstrate systematic risk-factor exposures on a universally consistent basis in form of a large-cap, low beta, growth and contrarian tilt. These systematic biases are also relevant given their knock-on effect on public changes in consumption due to a changes in net wealth, especially as more private investors are utilizing ETFs on the basis of these indices rather than delegated mandates in form of mutual or pension funds.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lars Kaiser, Michael Fleisch, Lukas Salcher,