Do fundamental indexes produce higher risk-adjusted returns than market cap indexes? Evidence for European stock markets-Reference-Cited by-同舟云学术

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

Published:2010-07-16 Issue:3 Volume:24 Page:219-243
ISSN:1934-4554
Container-title:Financial Markets and Portfolio Management
language:en
Short-container-title:Financ Mark Portf Manag

Author:

Stotz Olaf,Wanzenried Gabrielle,Döhnert Karsten

Publisher

Springer Science and Business Media LLC

Link

http://link.springer.com/content/pdf/10.1007/s11408-010-0135-9.pdf

Reference37 articles.

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2. Arnott, R.D., Markowitz, H.M.: Fundamentally flawed indexing: Comments. Financ. Anal. J. 64, 12–14 (2008)

3. Arnott, R.D., Hsu, J.C., Moore, P.: Fundamental indexation. Financ. Anal. J. 61, 83–99 (2005)

4. Arrow, K.J.: Essays in the Theory of Risk Bearing. Markham, Chicago (1971)

5. Beaver, W., Kettler, P., Scholes, M.: The association between market determined and accounting determined risk measures. Account. Rev. 45, 654–682 (1970)

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