Bias and misrepresentation revisited: Perspective on major equity indices

Lars Kaiser, Michael Fleisch and Lukas Salcher

Finance Research Letters, 2018, vol. 26, issue C, 223-229

Abstract: We analyze the characteristics of 22 leading equity indices and discuss common biases relative to their respective national equity markets. Findings demonstrate systematic risk-factor exposures on a universally consistent basis in form of a large-cap, low beta, growth and contrarian tilt. These systematic biases are also relevant given their knock-on effect on public changes in consumption due to a changes in net wealth, especially as more private investors are utilizing ETFs on the basis of these indices rather than delegated mandates in form of mutual or pension funds.

Keywords: Stock market indices; Market portfolio; CAPM; Carhart; Tracking error; Hit ratio; Cross-sectional volatility; Market coverage (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:223-229

DOI: 10.1016/j.frl.2017.12.019

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