ABSTRACT The market beta is decomposed into fundamental and bubble beta to assess their effectiveness in the portfolio performance in both static and dynamic time-varying frameworks. The empirical results from India on 12 sectoral indices with NIFTY 500 as the market index establish that the portfolio constructed using the fundamental beta proportions performs better than the naïve, Markowitz mean-variance, market, and bubble beta portfolios with larger Sharpe ratio in both the static and dynamic time-varying estimates. These results open up far-reaching implications for investment analysis and contribute to the recent literature that combines fundamental analysis in the construction of portfolios.

中文翻译：

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基本的Beta和投资组合绩效：来自新兴市场的证据

摘要市场beta被分解为基本beta和泡沫beta，以评估它们在静态和动态时变框架中对投资组合绩效的有效性。印度在以NIFTY 500作为市场指数的12个行业指数上的经验结果表明，使用基本贝塔系数构成的投资组合的表现要好于朴素，马尔科维兹均值方差，市场和泡沫贝塔系数的夏普比率，两者均较大。静态和动态时变估计。这些结果为投资分析开辟了深远的影响，并为最近的结合基础分析在投资组合构建中的文献做出了贡献。