Adherents of Fundamental Indexing (FI) suggest that it is more protable to base portfolio weights on indirectly size-related indicators like accounting data rather than directly on market caps. In noisy markets a la Roll (1984), it is argued, underpriced stocks overperform but are underweighted...

In this paper we reconsider the estimated deadweight costs for the emerging countries implied by the mean-variance portfolio model developed by Cooper and Kaplanis (1994) and general- ized by Sercu and Vanp¶ee (2007). We show both theoretically and empirically that estimated implicit investment...

Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...

The Heston-Rouwenhorst (HR) estimates of country and industry factors have been criticised for assuming that each stock has unit exposures to its own country and industry factor. We address this issue analytically and empirically. Our position is that HR are not modeling and estimating a return...

Using a carefully screened and ltered international data base with a wide coverage across countries and size classes, this paper identies and documents a post-1980s size effect which is persistent, not picked up by a Fama-French-style SMB, and largely due to the smallest-decile stocks. We test...

Using an international Thompson Datastream database and standard asset pricing models we encounter pricing errors for the ten percent smallest stocks. We generalize the standard 4-factor model by adding two additional risk factors (one size- and one book-tomarket factor). This generalized...

While intuition suggests that governance and transparency at the corporate level are primordial for a country's international appeal, foreign portfolio investors appear to care first and foremost about transparency, predictability and honesty at the government level. This is, at least, what our...

In the debate whether country factors are typically more variable than sector factors, sparked off by e.g. Roll (1991) and Heston and Rouwenhorst (1994), one of the few uncontested facts is that the addition of emerging markets (EMs) does boost the ratio of country-factor variance relative to...