Portfolio Return Characteristics of Different Industries

MODERN CONCEPTS OF THE THEORY OF THE FIRM, G. Fandel, U. Backes-Gellner, M. Schlueter, J.E. Staufenbiel, eds., Springer-Verlag, Berlin, Heidelberg 2004

Posted: 23 Feb 2004

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

Abstract

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether this also holds for portfolios of stocks from a growth industry. Furthermore, we will compare this type of portfolios with portfolios of stocks from a more traditional industry. Usually, only value weighted and equally weighted portfolios are used to describe and compare portfolio return characteristics. Instead, in our analysis, we use a novel approach in which we use an infinite number of portfolios that together represent the set of all feasible 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. MODERN CONCEPTS OF THE THEORY OF THE FIRM, G. Fandel, U. Backes-Gellner, M. Schlueter, J.E. Staufenbiel, eds., Springer-Verlag, Berlin, Heidelberg 2004. Available at SSRN: https://ssrn.com/abstract=485642

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
1,128
PlumX Metrics