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The Global Rise of the Value-Weighted PortfolioUtpal BhattacharyaIndiana University Bloomington - Department of Finance Neal GalpinUniversity 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 working papers seriesDate posted: November 18, 2005Suggested CitationContact Information
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