Title :
Analyzing the influence of fundamental indexing through inverse simulation analysis
Author :
Takahashi, Hiroshi ; Takahashi, Satoru ; Terano, Takao
Author_Institution :
Grad. Sch. of Bus. Adm., Keio Univ., Tokyo, Japan
Abstract :
This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.
Keywords :
indexing; pricing; stock markets; financial market; fundamental indexing; inverse simulation analysis; market price; price indexing; Analytical models; Computational modeling; Educational institutions; Indexing; Inverse problems; Investments; Agent-based modeling; Behavioral economics; Financial markets; Fundamental indexation;
Conference_Titel :
SICE Annual Conference (SICE), 2011 Proceedings of
Conference_Location :
Tokyo
Print_ISBN :
978-1-4577-0714-8