The Global Rise of the Value-Weighted Portfolio

35 Pages Posted: 27 Dec 2009

See all articles by Utpal Bhattacharya

Utpal Bhattacharya

HKUST Business School

Neal Galpin

Monash University - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: December 23, 2009

Abstract

We first develop a theory-based metric to judge the popularity of value-weighting in a stock market. We then use our metric to document that although value-weighting is less popular in emerging markets than in developed markets, its popularity is increasing almost everywhere. Finally, as we have better data for the United States, we explore why value-weighting is becoming more popular in the United States.

Keywords: Modern Portfolio Theory, Value-Weighted Portfolio, Diversification, Stock Picking, Asymmetric Information

JEL Classification: D82, F37, G11, G12, G14

Suggested Citation

Bhattacharya, Utpal and Galpin, Neal E., The Global Rise of the Value-Weighted Portfolio (December 23, 2009). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Available at SSRN: https://ssrn.com/abstract=1527467

Utpal Bhattacharya

HKUST Business School ( email )

Clear Water Bay
Kowloon
Hong Kong

Neal E. Galpin (Contact Author)

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

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