Bias and Misrepresentation Revisited: Perspective on Major Equity Indices

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Referenz

Kaiser, L., Fleisch, M., & Salcher, L. (2018). Bias and Misrepresentation Revisited: Perspective on Major Equity Indices. Finance Research Letters, 26, 223-229. (ABDC_2016: B; ABS: 2; ISI: 0.842; ISI: 0.762; VHB_3: B)

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Artikel in Journal

Abstract

We analyze the characteristics of 22 leading equity indices and discuss common biases relative to their respective national equity markets. Findings demonstrate systematic risk-factor exposures on a universally consistent basis in form of a largecap, low beta, growth and contrarian tilt. These systematic biases are also relevant given their knock-on e?ect on public changes in consumption due to a changes in net wealth, especially as more private investors are utilizing ETFs on the basis of these indices rather than delegated mandates in form of mutual or pension funds.

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Einrichtungen

  • Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement
  • Institut für Finance

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DOI

http://dx.doi.org/10.1016/j.frl.2017.12.019