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Do fundamental indexes produce higher risk-adjusted returns than market cap indexes? : evidence for European stock markets

Stotz, Olaf; Wanzenried, Gabrielle; Döhnert, Karsten - In: Financial markets and portfolio management 24 (2010) 3, pp. 219-243

Persistent link: https://www.econbiz.de/10008668599

Open-market purchases of public equity by private equity investors : size and home-bias effects

Stotz, Olaf; Wanzenried, Gabrielle; Döhnert, Karsten - In: Journal of economics & business 62 (2010) 6, pp. 562-576

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Heterogeneity in asset allocation decisions : empirical evidence from Switzerland

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Do Fundamental Indexes Produce Higher Risk-Adjusted Returns than Market Cap Indexes? Evidence for European Stock Markets

Stotz, Olaf - 2010

A fundamental index weighs stocks proportionally to fundamentals such as book value, dividends, or sales. We investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk-adjustment approaches to ensure that return differences are not...

Persistent link: https://www.econbiz.de/10013138615