Global High Turnover by volume Earnings Yield Weighted Index

• Main Authors: Shu-Hua Wang, 王淑華
• Other Authors: An-sing Chen
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/93625490356389179355

碩士 === 國立中正大學 === 財務金融所 === 95 === This paper described a group of fundamentals-based market portfolios whose construction method is based on selection with the high transaction volume equities in the global stock markets and weighting with the EPS per price ratio. The resulting portfolios outperformed the traditional capital-weighted index (MSCI world ex-us) over the 11 years span tested. And the performance was robust across phases of the business cycle, across bear and bull stock markets, and across rising- and falling-interest-rate regimes. With the understanding of investors behavior we find out a new efficient method to construct an index.