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The Global Rise of the Value-Weighted Portfolio

Utpal Bhattacharya
Indiana University Bloomington - Department of Finance

Neal Galpin
Texas A&M University - Department of Finance


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.

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

JEL Classifications: G11, G14, G15

Working Paper Series

Date posted: November 18, 2005 ; Last revised: December 22, 2009

Suggested Citation

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


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Contact Information

Neal E. Galpin (Contact Author)
Texas A&M University - Department of Finance ( email )
College Station, TX 77843-4218
United States
Utpal Bhattacharya
Indiana University Bloomington - 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/
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