| TAZ-TFM-2017-1084 |
Identificación del active share espurio en los Benchmarks de la Eurozona
Lobán Acero, Lidia
Sarto Marzal, José Luis (dir.) ; Vicente Gimeno, Luis Alfonso (dir.)
Universidad de Zaragoza,
ECON,
2017
Contabilidad y Finanzas department, Economía Financiera y Contabilidad area
Máster Universitario en Contabilidad y Finanzas
Abstract: This study tests spurious active share in Eurozone benchmarks between January 2002 and December 2016. Using for that an own algorithm to be able to capture the spurious active share generated by the excess of concentration of the indexes and adjusted by European regulation (85/611/CEE) on limits of diversification of risk. From monthly information of the constituent weights of the indexes and separating by quintiles we have obtained a direct relation between a high concentration and the appearance of a high spurious active share. Keywords: Spurious active share, concentrated benchmarks, diversification limits.
Tipo de Trabajo Académico: Trabajo Fin de Master
Notas: Aporta en secretaria material físico.
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