35 Pages Posted: 18 Nov 2005
Date Written: March 2007
We do three things in this paper. We first develop a metric to measure the popularity of the value-weighted portfolio in a stock market. We use our metric to document that, though the value-weighted portfolio is less popular in emerging markets than in developed markets, its popularity is increasing everywhere. In the United States, for example, trading in the value-weighted portfolio could only explain 32% of trading volume in the 1920s, but can explain 68% in the 2000s. Finally, as we have better data for the United States, we explore why the value-weighted portfolio is becoming more popular.
Keywords: portfolio theory, value-weighted portfolio, diversification, indexing, stock picking
JEL Classification: G11, G14, G15
Suggested Citation: Suggested Citation
Bhattacharya , Utpal and Galpin, Neal, The Global Rise of the Value-Weighted Portfolio (March 2007). AFA 2007 Chicago Meetings Paper. Available at SSRN: https://ssrn.com/abstract=849627 or http://dx.doi.org/10.2139/ssrn.849627