Fundamental Indexation in European Emerging Markets

Tomasz Miziołek , Adam Zaremba

Abstract

Fundamental indexation for common stocks refers to weighting portfolio constituents on the basis of fundamental variables. We examine the cost efficiency of this approach in the three largest European emerging markets: Poland, Russia, and Turkey. We form portfolios based net profits, sales, book values, and dividends, and evaluate their performance in the 2002-2015 period. The fundamentally weighted portfolios deliver higher risk-adjusted returns than standard capitalization-weighted portfolios, but the differences are predominantly statistically insignificant. The abnormal performance remains positive after controlling for trading costs. As a result, the study offers a costeffective portfolio construction method that could be implemented by international investment managers with a focus on emerging markets.
Author Tomasz Miziołek - Uniwersytet Łódzki (UŁ)
Tomasz Miziołek,,
-
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesRomanian Journal of Economic Forecasting, ISSN 1582-6163, (A 15 pkt)
Issue year2017
No1
Pages23-37
Publication size in sheets0.7
Keywords in Englishfundamental indexation, value investing, trading costs, emerging markets
ASJC Classification2000 General Economics, Econometrics and Finance
URL http://www.ipe.ro/rjef/rjef1_17/rjef1_2017p23-37.pdf
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 09-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 0.387; WoS Impact Factor: 2017 = 0.263 (2) - 2017=0.263 (5)
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