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Cap-Weighted Portfolios are Sub-Optimal Portfolios
16 references·16 citing·23 second hopsampled
Cap-Weighted Portfolios are Sub-Optimal Portfolios (2005)Cap-Weighted Portfolios are Sub-Optimal P…Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Good News for Value Stocks: F…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test (1987)Stock Market Prices Do Not Fo…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Intuitive prediction: Biases and corrective procedures (1982)Intuitive prediction: Biases …The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The General Theory of Employment (1937)The General Theory of Employm…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employm…Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments (2018)Does the application of smart…SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES (2013)SUB-ADDITIVE RECURSIVE "MATCH…The Surprising 'Alpha' from Malkiel's Monkey and Upside-Down Strategies (2012)The Surprising 'Alpha' from M…Choose Your Betas: Benchmarking AlternativeEquity Index Strategies (2012)Choose Your Betas: Benchmarki…A Survey of Alternative Equity Index Strategies (2011)A Survey of Alternative Equit…A Survey of Alternative Equity Index Strategies (2011)A Survey of Alternative Equit…Risk-Based Indexation (2010)Risk-Based IndexationFundamental Indexing Around the World (2009)Fundamental Indexing Around t…Fundamental Indexation: An Australian Investigation (2009)Fundamental Indexation: An Au…Why Fundamental Indexation Might—or Might Not—Work (2008)Why Fundamental Indexation Mi…Fundamental indexation: An active value strategy in disguise (2008)Fundamental indexation: An ac…Fundamental indexation in Europe (2008)Fundamental indexation in Eur…Fundamental Indexation and International Diversification (2008)Fundamental Indexation and In…Fundamentally Flawed Indexing (2007)Fundamentally Flawed IndexingFundamental indexation via smoothed cap weights (2007)Fundamental indexation via sm…Noise, CAPM, and the Size and Value Effects (2006)Noise, CAPM, and the Size and…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Time Series Analysis, Forecasting, and Control (1995)The relationship between return and market value of common stocks (1981)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)Judgment Under Uncertainty: Heuristics and Biases. (1984)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes6,220 cited
  • 1937The General Theory of Employment5,168 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1982Intuitive prediction: Biases and corrective procedures1,152 cited
  • 1997Good News for Value Stocks: Further Evidence on Market Efficiency

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805 cited
  • 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test735 cited
  • Cited by

    • 2011A Survey of Alternative Equity Index Strategies131 cited
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    • 2008Why Fundamental Indexation Might—or Might Not—Work66 cited
    • 2008Fundamental Indexation and International Diversification61 cited
    • 2012The Surprising 'Alpha' from Malkiel's Monkey and Upside-Down Strategies58 cited
    • 2008Fundamental indexation in Europe49 cited
    • 2008Fundamental indexation: An active value strategy in disguise45 cited
    • 2006Noise, CAPM, and the Size and Value Effects43 cited
    • 2012Choose Your Betas: Benchmarking AlternativeEquity Index Strategies42 cited
    • 2010Risk-Based Indexation41 cited
    • 2018Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments39 cited
    • 2007Fundamental indexation via smoothed cap weights39 cited
    • 2009Fundamental Indexing Around the World35 cited
    • 2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES33 cited
    • 2009Fundamental Indexation: An Australian Investigation31 cited
    • 2011A Survey of Alternative Equity Index Strategies31 cited