|Appears in Collections:||Accounting and Finance Journal Articles|
|Title:||In Defence of Capitalisation Weights: Evidence from the FTSE 100 and S&P 500 Indices|
|Keywords:||FTSE 100 Index|
S&P 500 Index
|Publisher:||Wiley-Blackwell / Blackwell Publishing|
|Citation:||Tabner I (2012) In Defence of Capitalisation Weights: Evidence from the FTSE 100 and S&P 500 Indices, European Financial Management, 18 (1), pp. 142-161.|
|Abstract:||A simple method for decomposing the variance covariance matrix of portfolio returns at the level of individual stocks is applied to the FTSE 100 Index. During extreme negative shocks, the largest index constituents exhibit lower than average covariance, thereby reducing the volatility of the capitalisation-weighted index. The risk-adjusted returns of the capitalisation-weighted FTSE 100 Index exceed those of an equally-weighted version of the same index and the outperformance is robust to the method of risk adjustment applied. The equally-weighted index also exhibits greater systematic (market) risk than the capitalisation-weighted version.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Affiliation:||Accounting and Finance|
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