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Bias and Misrepresentation Revisited: Perspective on Major Equity Indices

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Reference

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; ABDC_2019: A; ABS_2018: 2; ISI_2016: 0.762; ISI_2016_5year: 0.842; ISI_2018: 1.709; VHB_3: B)

Publication type

Article in Scientific 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.

Persons

Organizational Units

  • Chair in Business Administration, Banking and Financial Management
  • Institute for Finance

DOI

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