Despite the abundant successful evidence of fundamental indexation in recent international literature, it is argued thatthe performance of fundamental indexes is primarily attributed to their inherent value bias or avoidance of large caps.To clarify whether the merits of fundamental indexation represent reward to priced value and size risk factors,performance attribution analysis is conducted on the fundamental indexes in emerging stock markets based on theFama and French (1993) 3-factor model. The results of this study indicate that with the exception of the sales indexes,the majority of the fundamental-weighted indexes have significant exposures to the size and value risks in emergingstock markets, and earn significantly negative abnormal returns after the size and value risks are controlled for. It isalso found that although fundamental-weighted indexes accumulate positive residuals during the crash of the dot.combubble in 2000 and the global financial crisis in 2008, they also experience severe drawdown during these periods. Thisobservation suggests that fundamental indexation might have significant exposures to known risk factors in emergingmarkets during turbulent times.
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机译:尽管在最近的国际文献中有大量成功的基本指数编制证据,但有人认为基本指数的表现主要归因于其固有的价值偏差或避免使用大盘股。为了弄清基本索引的优点是否代表对价格和大小的奖励风险因素,基于Fama and French(1993)三因素模型,对新兴股票市场的基本指标进行了绩效归因分析。研究结果表明,除销售指数外,大多数基本加权指数都对新兴股票市场的规模和价值风险有重大敞口,而在控制规模和价值风险后,它们可获得显着的负异常收益。对于。还发现,尽管基本加权指数在2000年dot.combubble崩溃和2008年全球金融危机期间积累了正的残差,但在这些时期它们也经历了严重的下跌。该观察结果表明,在动荡时期,基本指数可能会严重暴露新兴市场中已知的风险因素。
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