Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/76471
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Glabadanidis, P. | - |
dc.contributor.author | Obaydin, I. | - |
dc.contributor.author | Zurbrugg, R. | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | The Journal of Asset Management, 2012; 13(3):210-225 | - |
dc.identifier.issn | 1470-8272 | - |
dc.identifier.issn | 1479-179X | - |
dc.identifier.uri | http://hdl.handle.net/2440/76471 | - |
dc.description | This is a post-peer-review, pre-copyedit version of an article published in The Journal of Asset Management. The definitive publisher-authenticated version Glabadanidis, Paskalis Teodoros; Obaydin, Ivan; Zurbruegg, Ralf, RAFI replication: easier done than said?, The Journal of Asset Management, 2012; 13(3):210-225 is available online at: dx.doi.org/10.1057/jam.2012.7 | - |
dc.description.abstract | We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially pronounced during periods of average stock market volatility. We also find that investors can construct a do-it-yourself buy-and-hold replicating portfolio that frequently outperforms the Research Affiliates Fundamental Index®(RAFI®), exchange traded fund out-of-sample. | - |
dc.description.statementofresponsibility | Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbruegg | - |
dc.language.iso | en | - |
dc.publisher | Palgrave Macmillan Ltd. | - |
dc.rights | © 2012 Macmillan Publishers Ltd. | - |
dc.source.uri | http://dx.doi.org/10.1057/jam.2012.7 | - |
dc.subject | fundamental indexes | - |
dc.subject | portfolio diversification | - |
dc.subject | mean-variance spanning | - |
dc.title | RAFI replication: easier done than said? | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1057/jam.2012.7 | - |
pubs.publication-status | Published | - |
dc.identifier.orcid | Glabadanidis, P. [0000-0003-0247-8430] | - |
dc.identifier.orcid | Zurbrugg, R. [0000-0002-8652-0028] | - |
Appears in Collections: | Aurora harvest 4 Business School publications |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
hdl_76471.pdf | Accepted version | 392.61 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.