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1、-------ABSTRACTCapitalizationweightedindiceshavebeenwidelyusedtillnow.However,the“returndrag”inthiskindofindexoccursbecausecap-weightsaretoolargeorsmallforoverpricedorunderpricedstocks.Undernoisymarkethypothesis,capitalizationweightedindexationisprovedtobesuboptimal.
2、Since2005whenArnottfirstproposednewmarketindicesbasedonfirms’fundamentalsizeestimatedbyaccountingmetrics,theso-calledfundamentalindexationhasbeenwidelystudiedandtestedindifferentmarketsinordertofindanindexationbetterofftheconventionalcap-weightedindicesandsubstitutei
3、tasamoreappropriateapproximationof“marketportfolio”.Basically,constitutionforfundamentalindicesisunderthethoughtofestimatingthefundamentalweightsinsteadoffundamentalvalue.Inourstudy,basedontheoreticalsupport,weconductmainlytwowaysoffundamentalindexationinChinaA-share
4、market.Oneistopickandweightstocksforindicesaccordingtoaccountingmetrics,namelybookvalue,sales,operatingcashflow,andgrossdividendforallAshareandsmoothedcapitalization.Theotherisaccordingtosmoothedcapitalizationweightswithdifferentbandwidthsintime.Weevaluatefundamental
5、indicesbycomparisonwiththeconventionalcapitalizationweightedindicesinprofitability,mean-varianceefficiencyandrobustnessanddiscussthesourceofexcessreturnifthereisanyinfundamentalindicesbytestinginFama-Frenchthreefactormodel.OurempiricalstudyresultsshowthatinChineseA-s
6、haremarket,fundamentalindicesviasmoothedcapitalizationoutpacecapitalizationweightedindicesinourtestingperiodfrom2005to2011withbetterperformanceinlargerbandwidth;however,sincethepoorperformanceofmostfundamentalindicesviaaccountingmetrics,thiskindoffundamentalindexatio
7、nmaynotworkforChina.KEYWORDS:FundamentalIndexation,SmoothedCapitalization,ChineseA-sharemarketi-----------摘要目前，全世界的主流市场标杆指数以市值加权。但是股票在指数中所占权重也随着股价被高估而变大，被低估而变小，从而造成了市值加权指数所特有的“收益率拖累”。基于此，在噪声市场假设下，市值加权被证明为次优的。自从2005年，Arnott率先提出通过会计信息估计的公司基本面规模来编制市场指数，基本面指数这一个全新的概念引起了广
8、泛的分析和探讨，期望可以通过这样的指数编制思想获得比市值加权指数更加科学合理的“市场资产组合”。基本面指数编制的基本想法在于对指数成分股的基本面权重进行估计而不是估计其股票具有的内在价值。在本文中，我们基于基本面指数存在超额收益的理论基础上，主要对两种基本面指数
