Apples and Oranges: Building a Better Dow

9 Pages Posted: 12 Aug 2012 Last revised: 14 Aug 2012

See all articles by Debraj Ray

Debraj Ray

New York University (NYU) - Department of Economics; Autonomous University of Barcelona - Instituto de Analisis Economico (CSIC)

Rajiv Sethi

Columbia University, Barnard College - Department of Economics; Santa Fe Institute

Date Written: August 10, 2012

Abstract

We propose a modification to the Dow formula that largely preserves the historical integrity of the time series but allows for the inclusion of securities regardless of their market price and a smooth and gradual transition, as incumbent stocks are replaced, to a fully value-weighted index in the long run.

Keywords: Dow Jones Industrial Average, Price-Weighted Index, Value-Weighted Index

JEL Classification: G0

Suggested Citation

Ray, Debraj and Sethi, Rajiv, Apples and Oranges: Building a Better Dow (August 10, 2012). Available at SSRN: https://ssrn.com/abstract=2127890 or http://dx.doi.org/10.2139/ssrn.2127890

Debraj Ray

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10003
United States
212-998-8906 (Phone)
212-995-4186 (Fax)

Autonomous University of Barcelona - Instituto de Analisis Economico (CSIC)

Campus UAB
E-08193 Bellaterra
Spain

Rajiv Sethi (Contact Author)

Columbia University, Barnard College - Department of Economics ( email )

3009 Broadway
New York, NY 10027
United States
212-854-5140 (Phone)

HOME PAGE: http://www.columbia.edu/~rs328/

Santa Fe Institute

1399 Hyde Park Road
Santa Fe, NM 87501
United States

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