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Industry-Based Alternative Equity Indices

Authors: Frank Leclerc; Jean-François L’Her; Tammam Mouakhar; Patrick Savaria;

Industry-Based Alternative Equity Indices

Abstract

The authors examined five alternative equity indices (AEIs) in the United States using industries instead of individual stocks as building blocks to form portfolios and compared their performance with that of the capitalization-weighted equity benchmark for the period 1964–2011. The five AEIs had, ex post, lower risk and better returns than the cap-weighted benchmark. Net risk-adjusted returns of three AEIs were significantly positive when controlling for four risk factors.

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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Average
Average
Average
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