Asset Details
Do you wish to reserve the book?
Why Fundamental Indexation Might—or Might Not—Work
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Why Fundamental Indexation Might—or Might Not—Work
Do you wish to request the book?
Why Fundamental Indexation Might—or Might Not—Work
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Why Fundamental Indexation Might—or Might Not—Work
2008
Overview
Some proponents of fundamental indexation daim that the strategy is based on a new theory in which market prices of stocks deviate from fair values. A key assumption in this approach is that fundamental weights are unbiased estimators offair value weights that are statistically independent of market values. This article demonstrates that, except in trivial cases, this assumption is internally inconsistent because the sources of the \"errors\" are also determinants of market values. The article shows under what conditions fundamental weights are better—or worse—estimators of fair value weights thon are market value weights, thereby demonstrating that the new theory is merely a conjecture. A formula is developed for the value bias inherent in fundamental weighting, and two approaches to combining fundamental and market values are discussed.
Publisher
CFA Institute,Taylor & Francis Ltd
Subject
/ Indexing
