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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/11941
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dc.contributor.authorTabner, Isaacen_UK
dc.date.accessioned2013-04-17T08:26:17Z-
dc.date.available2013-04-17T08:26:17Zen_UK
dc.date.issued2012-01en_UK
dc.identifier.urihttp://hdl.handle.net/1893/11941-
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.language.isoenen_UK
dc.publisherWiley-Blackwell / Blackwell Publishingen_UK
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. https://doi.org/10.1111/j.1468-036X.2009.00519.xen_UK
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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
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.embargodate3000-01-01en_UK
dc.rights.embargoreason[In defence of capitalisation weights.pdf] The 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.en_UK
dc.identifier.doi10.1111/j.1468-036X.2009.00519.xen_UK
dc.citation.jtitleEuropean Financial Managementen_UK
dc.citation.issn1468-036Xen_UK
dc.citation.issn1354-7798en_UK
dc.citation.volume18en_UK
dc.citation.issue1en_UK
dc.citation.spage142en_UK
dc.citation.epage161en_UK
dc.citation.publicationstatusPublisheden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emailisaac.tabner@stir.ac.uken_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000298590200006en_UK
dc.identifier.scopusid2-s2.0-84855185152en_UK
dc.identifier.wtid745406en_UK
dc.contributor.orcid0000-0003-3738-7301en_UK
dcterms.dateAccepted2012-01-31en_UK
dc.date.filedepositdate2013-04-15en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorTabner, Isaac|0000-0003-3738-7301en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate3000-01-01en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameIn defence of capitalisation weights.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1354-7798en_UK
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