EconPapers    
Economics at your fingertips  
 

Fundamental beta and portfolio performance: evidence from an emerging market

Hafsal K and S. Raja Sethu Durai

Macroeconomics and Finance in Emerging Market Economies, 2020, vol. 13, issue 3, 264-275

Abstract: The market beta is decomposed into fundamental and bubble beta to assess their effectiveness in the portfolio performance in both static and dynamic time-varying frameworks. The empirical results from India on 12 sectoral indices with NIFTY 500 as the market index establish that the portfolio constructed using the fundamental beta proportions performs better than the naïve, Markowitz mean-variance, market, and bubble beta portfolios with larger Sharpe ratio in both the static and dynamic time-varying estimates. These results open up far-reaching implications for investment analysis and contribute to the recent literature that combines fundamental analysis in the construction of portfolios.

Date: 2020
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2020.1760913 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:13:y:2020:i:3:p:264-275

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2020.1760913

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-10-08
Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:264-275