摘要：Fundamental indexation uses fundamental indicators to weight stocks in a portfolio but evidence about its
outperformance in across countries is mixed. It is possible that different legal environments impact these results.
Brazilian companies voluntarily join one of four stock exchange listing segments with incrementally more demanding
listing requirements about corporate governance (CG). The Brazilian market offers, thus, an opportunity to assess
fundamental indexation in the same legal environment but under different listing requirements. The sample period
begins in 2003 and ends in 2015. Categorical variables indicate the CG quality according to each listing segment. The
fundamentals of a company used in fundamental indexation are multiplied by the corresponding categorical variable to
compute portfolio weights. Companies with hypothetically better CG practices enjoy greater weights. The results show
that such fundamental portfolios did not outperform, given that their estimated alphas are not significant when
estimated with a five risk-factor model. Fundamental indices seem to be a variation of a value strategy and their
performance was not influenced by different listing requirements in the same legal environment. It is possible that
previous mixed results across countries were simply due to sample and period biases and not to the different legal
environments.
