Bookcover of The performance of long-term investments in the Italian stock market
Booktitle:

The performance of long-term investments in the Italian stock market

The impact of survivorship bias

AV Akademikerverlag (2016-07-15 )

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ISBN-13:

978-3-639-88761-7

ISBN-10:
3639887611
EAN:
9783639887617
Book language:
English
Blurb/Shorttext:
The objective of this work is to research on the impact of delisting effects and dropping off the market index on the investment performance and to understand whether the survivorship bias matters in the context of long-term investments. Given the calculation algorithms of a market index which exclude any failed, small and or illiquid company, we legitimately believe that a market index would have outperformed any passively managed not-rebalanced portfolio in the long run. We denote this phenomenon as natural survivorship bias. However, the results of this work show that the opposite is true. In all cases and under all regimes, the observed portfolios outperform noticeably the market index. We find that on average, small and less liquid firms gained higher returns than bigger and more liquid players. The literature defines the small firm effect as a concept which states that small cap firms outperform the large cap firms. Lower prices lead to larger price appreciations. We therefore believe that the phenomena like Small firm effect, Neglected firm effect and Illiquidity premium might explain the obtained results.
Publishing house:
AV Akademikerverlag
Website:
http://www.akademikerverlag.de/
By (author) :
Petr Maxmilian Hajkr
Number of pages:
100
Published on:
2016-07-15
Stock:
Available
Category:
Money, Bank, Stock exchange
Price:
38.90 €
Keywords:
long term investment, survivorship bias, small firm effect, illiquidity premium, FTSEMIB Index, Italian stock market

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