Fundamental indexation in Europe

Julius Hemminki and Vesa Puttonen ()
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Vesa Puttonen: Helsinki School of Economics

Journal of Asset Management, 2008, vol. 8, issue 6, No 5, 405 pages

Abstract: Abstract We examine the benefits of fundamental indexation using European data. Our findings suggest that by re-weighting a capitalisation-weighted market index by certain fundamental values, it is possible to produce consistently higher returns and higher risk-adjusted returns. Some of these fundamental portfolios produce consistent and significant benefits compared to the capitalisation-weighted portfolio. Thus, our results are in line with Arnott et al. (2005) from the US markets.

Keywords: fundamental indexation; index investing; value investing; index fund; European stock market (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (18)

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DOI: 10.1057/palgrave.jam.2250090

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