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Conference paper
https://doi.org/10.2478/zireb-2018-0023

Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market

Davor Zoričić   ORCID icon orcid.org/0000-0002-0206-3422 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.
Denis Dolinar   ORCID icon orcid.org/0000-0001-9489-9990 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.
Zrinka Lovretin Golubić   ORCID icon orcid.org/0000-0002-6446-8505 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.

Fulltext: english, pdf (411 KB) pages 45-53 downloads: 248* cite
APA 6th Edition
Zoričić, D., Dolinar, D. & Lovretin Golubić, Z. (2018). Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market. Zagreb International Review of Economics & Business, 21 (SCI), 45-53. https://doi.org/10.2478/zireb-2018-0023
MLA 8th Edition
Zoričić, Davor, et al. "Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market." Zagreb International Review of Economics & Business, vol. 21, no. SCI, 2018, pp. 45-53. https://doi.org/10.2478/zireb-2018-0023. Accessed 26 Sep. 2021.
Chicago 17th Edition
Zoričić, Davor, Denis Dolinar and Zrinka Lovretin Golubić. "Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market." Zagreb International Review of Economics & Business 21, no. SCI (2018): 45-53. https://doi.org/10.2478/zireb-2018-0023
Harvard
Zoričić, D., Dolinar, D., and Lovretin Golubić, Z. (2018). 'Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market', Zagreb International Review of Economics & Business, 21(SCI), pp. 45-53. https://doi.org/10.2478/zireb-2018-0023
Vancouver
Zoričić D, Dolinar D, Lovretin Golubić Z. Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market. Zagreb International Review of Economics & Business [Internet]. 2018 [cited 2021 September 26];21(SCI):45-53. https://doi.org/10.2478/zireb-2018-0023
IEEE
D. Zoričić, D. Dolinar and Z. Lovretin Golubić, "Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market", Zagreb International Review of Economics & Business, vol.21, no. SCI, pp. 45-53, 2018. [Online]. https://doi.org/10.2478/zireb-2018-0023

Abstracts
The work of Arnott et al. (2005) presented an interesting fact that the fundamentally- weighted indices generally outperform the market capitalisation-weighted counterparts in the US stock market. The research results prompted the introduction of fundamentally-weighted indices in the US market. Since research dealing with Croatian capital market also points out the inefficiency of the risk return trade-off of the cap-weighted (CROBEX) index this paper examines more closely the risk return characteristics of the potential fundamentally-weighted alternative and analyses the source of higher returns in the case of fundamentally-weighted indices. We use the original and propose a modified Fama French three factor model in order to try to capture specific sources of risk in the small and illiquid market. We find evidence in support of the view that better risk return trade-off of the fundamentally-weighted indices is driven by additional exposure to risk factors in comparison to CROBEX index.

Keywords
fundamentally-weighted indices; risk-return trade-off; benchmark efficiency

Hrčak ID: 216241

URI
https://hrcak.srce.hr/216241

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