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Bias and misrepresentation revisited: Perspective on major equity indices

Author

Listed:
  • Kaiser, Lars
  • Fleisch, Michael
  • Salcher, Lukas

Abstract

We analyze the characteristics of 22 leading equity indices and discuss common biases relative to their respective national equity markets. Findings demonstrate systematic risk-factor exposures on a universally consistent basis in form of a large-cap, low beta, growth and contrarian tilt. These systematic biases are also relevant given their knock-on effect on public changes in consumption due to a changes in net wealth, especially as more private investors are utilizing ETFs on the basis of these indices rather than delegated mandates in form of mutual or pension funds.

Suggested Citation

  • Kaiser, Lars & Fleisch, Michael & Salcher, Lukas, 2018. "Bias and misrepresentation revisited: Perspective on major equity indices," Finance Research Letters, Elsevier, vol. 26(C), pages 223-229.
    • Handle: RePEc:eee:finlet:v:26:y:2018:i:c:p:223-229
    DOI: 10.1016/j.frl.2017.12.019
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    References listed on IDEAS

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    1. Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
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    More about this item

    Keywords

    Stock market indices; Market portfolio; CAPM; Carhart; Tracking error; Hit ratio; Cross-sectional volatility; Market coverage;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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