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Descripción
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| Abstract A stock market index weighed by the market capitalization presents the drawback of overweighing overpriced stocks and underweighing underpriced stocks. Therefore, market capitalization-weighed indices should underperform other indices avoiding that bias, such as the ?Fundamental Index? (FI). This article compares the relative performance of FI vs. IBEX-35 (main Spanish stock index), in the Spanish stock exchange, from the IBEX-35?s inception in 1992, to the end of 2010. The results of the study show a relative overperformance of the FI over the IBEX-35 of more than 1.12% compound annual rate, during the nineteen years covered by the study. This excess return, in favour of the FI, reaches 5.55% compound annual rate during the seven years, within the study period, in which the IBEX-35 showed a negative return. However, during the twelve years in which the IBEX-35 showed a positive return, the FI underperformed the IBEX-35 by 2.90% compound annual rate. | |
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Internacional
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Si |
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DOI
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10.1007/978-1-4471-2321-7 |
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Edición del Libro
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1 |
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Editorial del Libro
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Springer-Verlag London Limited 2012 |
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ISBN
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978-1-4471-2320-0 |
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Serie
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1 |
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Título del Libro
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Industrial Engineering: Innovative Networks. Annaals of Industrial Engineering 2011 |
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Desde página
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21 |
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Hasta página
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28 |