The Global Rise of the Value-Weighted Portfolio

Bhattacharya , Utpal; Galpin, Neal

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The Global Rise of the Value-Weighted Portfolio

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

35 Pages Posted: 27 Dec 2009

See all articles by Utpal Bhattacharya

Neal Galpin

Monash University - Department of Banking and Finance

There 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: 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