TAILIEUCHUNG - New Paradigms in Stock Market Indexing

Acknowledgements: The authors would like to express their gratitude to the anonymous referee and all those that have helped improve the quality of the paper. This research was supported in part by the Center for Economic Policy Studies at Princeton University. *The opinions expressed in this publication are entirely those of the authors and, in expressing their opinions, the authors are not acting as employees or agents of Merrill Lynch nor do the opinions expressed herein necessarily reflect those of Merrill Lynch. Merrill Lynch does not accept any liability for any content contained in the publication, or any errors. | New Paradigms in Stock Market Indexing by Derek Jun Merrill Lynch Burton G. Malkiel Princeton University CEPS Working Paper No. 166 January 2008 Acknowledgements The authors would like to express their gratitude to the anonymous referee and all those that have helped improve the quality of the paper. This research was supported in part by the Center for Economic Policy Studies at Princeton University. The opinions expressed in this publication are entirely those of the authors and in expressing their opinions the authors are not acting as employees or agents of Merrill Lynch nor do the opinions expressed herein necessarily reflect those of Merrill Lynch. Merrill Lynch does not accept any liability for any content contained in the publication or any errors or omissions. The information contained in this publication should not be considered as a recommendation an offer or a solicitation of an offer to buy and sell securities or other instruments from to Merrill Lynch. Merrill Lynch shall not be responsible for any third-party claims actions or demands made relating to the publication. New Paradigms in Stock Market Indexing Abstract Considerable recent interest has been shown in a new set of stock-market indices that are weighted by fundamental factors such as sales earnings dividends or book values rather than by capitalization. In this paper we analyze the performance of Fundamental Indexing FI . First we show that the source of FI s recent excellent performance is not from its ability to systematically arbitrage mispricing in a noisy market but from increasing the portfolio s exposure to stocks with low price-to-book values and with small capitalizations. We find that FI does not produce a positive alpha when its excess returns are explained by the Fama-French three-factor model of CAPM beta the value premium and the size premium. Second we show that it is possible to construct a portfolio of exchange-traded funds with similar factor loadings that can replicate and

Đã phát hiện trình chặn quảng cáo AdBlock
Trang web này phụ thuộc vào doanh thu từ số lần hiển thị quảng cáo để tồn tại. Vui lòng tắt trình chặn quảng cáo của bạn hoặc tạm dừng tính năng chặn quảng cáo cho trang web này.