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- W1966507916 abstract "This paper provides an empirical evaluation of the rationality of the 1/N heuristic when applied to indexed investments linked to the most representative benchmarks of the US stock market. The 'rationality' of the investment is measured by the efficiency, both in the modern portfolio theory (MPT) and in capital asset pricing model (CAPM) frameworks, of the construction methodologies of each index. The empirical study employs four measures of efficiency: the small–sample Gibbons, Ross and Shanken test; the large–sample Wald test, implemented through a bootstrap simulation; the generalised method of moments (GMM) test, applied in a non–Gaussian framework through a block bootstrap simulation, and Kandel and Stambaugh's relative efficiency measure. Results provide strong evidence of the superior efficiency of equal weighting if compared to float– and capitalisation weighting. This also indicates that the 1/N heuristic can be regarded as rational behaviour for indexed investors." @default.
- W1966507916 created "2016-06-24" @default.
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- W1966507916 date "2014-01-01" @default.
- W1966507916 modified "2023-09-27" @default.
- W1966507916 title "The (ir)rationality of the 1/N heuristic" @default.
- W1966507916 doi "https://doi.org/10.1504/ijbaf.2014.067623" @default.
- W1966507916 hasPublicationYear "2014" @default.
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