TY  - JOUR
AB  - <jats:title>Abstract</jats:title><jats:p>Evidence from many developed markets suggests that fundamental indices outperform capitalisation-weighted indices. Existing studies suspect a story of market mispricing, yet a mechanism has not been identified. Using Australian data, we study the relation between analyst forecast errors and the performance of various fundamental indices. We find that fundamental indices contain a relatively higher exposure to stocks with low analyst long-term growth forecasts. Valuations for these stocks are <jats:italic>ex ante</jats:italic> overly pessimistic and drive the statistical significance of alphas produced by fundamental indexation. We show how hedging against analyst forecast errors can generate additional alpha for investors using fundamental indexation.</jats:p>
AU  - Hambusch, G
AU  - Hitchen, J
AU  - Casavecchia, L
DA  - 2022
DO  - 10.1057/s41260-022-00276-y
EP  - 1
JO  - The Journal of Asset Management
PB  - Palgrave Macmillan
PY  - 2022
SP  - 1
TI  - The Impact of Analyst Forecast Errors on Fundamental Indexation: The Australian Evidence
Y1  - 2022
Y2  - 2026/08/06
ER  -