Fundamental Indexation in European Emerging Markets
Tomasz Miziołek , Adam Zaremba
AbstractFundamental 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.
|Journal series||Romanian Journal of Economic Forecasting, ISSN 1582-6163, (A 15 pkt)|
|Publication size in sheets||0.7|
|Keywords in English||fundamental indexation, value investing, trading costs, emerging markets|
|Score||= 15.0, 09-03-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2017 = 0.387; : 2017 = 0.263 (2) - 2017=0.263 (5)|
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