Portfolio Return Characteristics of Different Industries

16 Pages Posted: 27 May 2003

See all articles by I. Pouchkarev

I. Pouchkarev

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

J. Spronk

Erasmus Research Institute of Management (ERIM)

Pim van Vliet

Robeco Quantitative Investments

Multiple version iconThere are 2 versions of this paper

Date Written: November 2003 2,

Abstract

Over the last decade we have witnessed the rise and fall of theso-called new economy stocks. One central question is to what extentthese new firms differ from traditional firms. Empirical evidencesuggests that stock returns are not normally distributed. In thisarticle we investigate whether this also holds for portfolios ofstocks from a growth industry. Furthermore, we will compare this typeof portfolios with portfolios of stocks from a more traditionalindustry. Usually, only value weighted and equally weighted portfoliosare used to describe and compare portfolio return characteristics.Instead, in our analysis, we use a novel approach in which we use aninfinite number of portfolios that together represent the set of allfeasible portfolio opportunities.

Keywords: portfolio management, investments, stock markets, sector index, performance evaluation

JEL Classification: M, G3, C15, C43, G10

Suggested Citation

Pouchkarev, Igor and Spronk, Jaap and van Vliet, Pim, Portfolio Return Characteristics of Different Industries (November 2003 2,). ERIM Report Series Reference No. ERS-2003-014-F&A, Available at SSRN: https://ssrn.com/abstract=411644

Igor Pouchkarev

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

Jaap Spronk (Contact Author)

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Pim Van Vliet

Robeco Quantitative Investments ( email )

Rotterdam, 3011 AG
Netherlands

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