Portfolio Return Characteristics of Different Industries
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Erasmus Research Institute of Management (ERIM)
Pim Van Vliet
Robeco Asset Management - Quantitative Strategies
MODERN CONCEPTS OF THE THEORY OF THE FIRM, G. Fandel, U. Backes-Gellner, M. Schlueter, J.E. Staufenbiel, eds., Springer-Verlag, Berlin, Heidelberg 2004
Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether this also holds for portfolios of stocks from a growth industry. Furthermore, we will compare this type of portfolios with portfolios of stocks from a more traditional industry. Usually, only value weighted and equally weighted portfolios are used to describe and compare portfolio return characteristics. Instead, in our analysis, we use a novel approach in which we use an infinite number of portfolios that together represent the set of all feasible portfolio opportunities.
Keywords: Portfolio Management, Investments, Stock Markets, Sector Index, Performance Evaluation
JEL Classification: M, G3, C15, C43, G10Accepted Paper Series
Date posted: February 23, 2004
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