Analyzing the validity of fundamental index in Japan's stock market

DOI

Bibliographic Information

Other Title
  • 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.

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Details 詳細情報について

  • CRID
    1390282680685874432
  • NII Article ID
    130004606441
  • DOI
    10.11497/jasmin.2010s.0.58.0
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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