| ABSTRACT | 第1-7页 |
| 摘要 | 第7-8页 |
| Introduction | 第8-13页 |
| Chapter 1: Background Literature Review | 第13-18页 |
| ·Portfolio asset pricing theory review | 第13-15页 |
| ·Fundamental indexation theory review | 第15-16页 |
| ·Challenges against fundamental indexation review | 第16-18页 |
| Chapter 2: Theory Justification | 第18-25页 |
| ·Noise-in-price model description | 第18页 |
| ·Return drag in capitalization weighted portfolio | 第18-21页 |
| ·Excess return in fundamental weighted portfolio | 第21-22页 |
| ·Excess return in approximated fundamental weighting | 第22-25页 |
| Chapter 3: Data and Methodology | 第25-29页 |
| ·Data source and data description | 第25页 |
| ·Construction of fundamental indices | 第25-27页 |
| ·Evaluation on fundamental index evaluation | 第27-29页 |
| Chapter 4: Empirical Results Analysis | 第29-54页 |
| ·Performance analysis on fundamental indices via accounting metrics | 第29-33页 |
| ·Overall performance analysis | 第29-31页 |
| ·Adjusted indices by accounting metrics | 第31-33页 |
| ·Performance analysis on fundamental indices via smoothed capitalization weights | 第33-35页 |
| ·Excess return analysis via Fama-French 3-Factor Model and 4-Factor Model with the addition of momentum factor | 第35-39页 |
| ·Reasons for choosing these models | 第35-36页 |
| ·Calculation for HML, SMB and MOM factors | 第36-37页 |
| ·Statistical Results | 第37-39页 |
| ·Robust test | 第39-46页 |
| ·Partition for bulls and bears | 第39-45页 |
| ·Partition for interest rate cycles | 第45-46页 |
| ·Sector weighting analysis | 第46-50页 |
| ·Most weighted companies analysis | 第50-54页 |
| Chapter 5: Conclusions | 第54-57页 |
| Bibliography | 第57-60页 |
| 致谢 | 第60-62页 |
