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dc.contributor.authorTabner, Isaac-
dc.description.abstractA 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.en_UK
dc.publisherWiley-Blackwell / Blackwell Publishing-
dc.relationTabner 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.-
dc.rightsThe 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.-
dc.subjectFTSE 100 Indexen_UK
dc.subjectS&P 500 Indexen_UK
dc.subjectbenchmark portfoliosen_UK
dc.subjectcapitalisation weightsen_UK
dc.subjectstock indicesen_UK
dc.subjectportfolio diversificationen_UK
dc.subjectperformance measurementen_UK
dc.titleIn Defence of Capitalisation Weights: Evidence from the FTSE 100 and S&P 500 Indicesen_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.citation.jtitleEuropean Financial Management-
dc.type.statusPublisher version (final published refereed version)-
dc.contributor.affiliationAccounting and Finance-
Appears in Collections:Accounting and Finance Journal Articles

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