TY - JOUR
T1 - Fundamental indexation revisited: new evidence on alpha
AU - Brooks, Chris
AU - Balatti, Mirco
AU - Kappou, K.
PY - 2017/5/1
Y1 - 2017/5/1
N2 - 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 35 years, whilst delivering similar or lower volatility. The constructed indices overlap by 9000, 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.
AB - 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 35 years, whilst delivering similar or lower volatility. The constructed indices overlap by 9000, 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.
U2 - 10.1016/j.irfa.2017.02.010
DO - 10.1016/j.irfa.2017.02.010
M3 - Article (Academic Journal)
SN - 1057-5219
VL - 51
SP - 1
EP - 15
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
ER -