Naslov
PERFORMANCE ANALYSIS OF FUNDAMENTALLY-WEIGHTED INDICES IN THE CROATIAN CAPITAL MARKET

Autori
Dolinar, Denis ; Zoričić, Davor ; Lovretin Golubić, Zrinka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
9th International Conference "An Enterprise Odyssey: Managing Change to Achieve Quality Development" / Načinović Braje, Ivana ; Jaković, Božidar ; Pavić, Ivana - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2018, 20-28

ISBN
78-953-346-057-4

Skup
9th International Conference “An Enterprise Odyssey: Managing Change to Achieve Quality Development”

Mjesto i datum
Zagreb, Hrvatska, 23.05.2018. - 26.05.2018

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
fundamentally-weighted indices, risk-return trade-off, benchmark efficiency

Sažetak
The work of Arnott et al. (2005) presented an interesting fact that the fundamentally- weighted indices generally outperform the market capitalization-weighted counterparts in the US stock market. Research results supported the view that cap-weighted indices are not mean-variance efficient and prompted the introduction of fundamentally-weighted indices in the US market. Since the research by Zoričić et al. (2014) and Habibović et al. (2017) dealing with Croatian capital market also points out the inefficiency of the risk return trade-off of the cap-weighted (CROBEX) index this paper examines more closely the risk return characteristics of the potential fundamentally-weighted alternative as proposed in Kovačević et al. (2017). Following the research of Amenc et al. (2008b) in order to compare the two benchmarks we analyze the source of higher returns in the case of fundamentally-weighted indices. To this purpose we use the original and propose a modified Fama French three factor model in order to try to capture specific sources of risk in the small and illiquid market following the research of Dolinar (2015). We find evidence in support of the view that better risk return trade-off of the fundamentally-weighted indices is driven by additional exposure to risk factors in comparison to CROBEX index.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA