Abstract

http://ssrn.com/abstract=849627
 
 

References (21)



 
 

Citations (6)



 


 



The Global Rise of the Value-Weighted Portfolio


Utpal Bhattacharya


Indiana University - Kelley School of Business - Department of Finance

Neal Galpin


University of Melbourne - Department of Finance; Financial Research Network (FIRN)

March 2007

AFA 2007 Chicago Meetings Paper

Abstract:     
We do three things in this paper. We first develop a metric to measure the popularity of the value-weighted portfolio in a stock market. We use our metric to document that, though the value-weighted portfolio is less popular in emerging markets than in developed markets, its popularity is increasing everywhere. In the United States, for example, trading in the value-weighted portfolio could only explain 32% of trading volume in the 1920s, but can explain 68% in the 2000s. Finally, as we have better data for the United States, we explore why the value-weighted portfolio is becoming more popular.

Number of Pages in PDF File: 35

Keywords: portfolio theory, value-weighted portfolio, diversification, indexing, stock picking

JEL Classification: G11, G14, G15

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Date posted: November 18, 2005  

Suggested Citation

Bhattacharya , Utpal and Galpin, Neal, The Global Rise of the Value-Weighted Portfolio (March 2007). AFA 2007 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=849627 or http://dx.doi.org/10.2139/ssrn.849627

Contact Information

Utpal Bhattacharya
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3413 (Phone)
812-855-5875 (Fax)
HOME PAGE: http://www.kelley.iu.edu/ubhattac/

Neal E. Galpin (Contact Author)
University of Melbourne - Department of Finance ( email )
Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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