Analyzing the validity of fundamental index in Japan's stock market
Bibliographic Information
- Other Title
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- ファンダメンタル情報に基づく株式インデックスの有効性について
Abstract
This paper analyzes the validity of index in Japan's stock market. We particularly focus on fundamental index (hereinafter FI) proposed by Arnott et al. (2005). As a result of intensive analysis, we made the following findings: (1) FI outperforms TOPIX (Tokyo stock price index) – one of the most frequently used capitalization-weighted stock index in Japan - by 4.68 % per year over the period 1985 to 2007; and (2) FI achieves positive risk-adjusted performance. These results exhibit the validity of FI in Japan's Market and have significant meaning from both academic and practical view points.
Journal
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- Abstracts of Annual Conference of Japan Society for Management Information
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Abstracts of Annual Conference of Japan Society for Management Information 2010s (0), 58-58, 2010
THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)
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Details 詳細情報について
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- CRID
- 1390282680685874432
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- NII Article ID
- 130004606441
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- Text Lang
- ja
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- Data Source
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- JaLC
- CiNii Articles
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- Abstract License Flag
- Disallowed