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The Global Rise of the Value-Weighted Portfolio

35 Pages Posted: 18 Nov 2005  

Utpal Bhattacharya

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management

Neal Galpin

University of Melbourne - Department of Finance; Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

Date Written: March 2007

Abstract

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

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

Utpal Bhattacharya

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management ( email )

Clear Water Bay
Kowloon
Hong Kong

Neal Galpin (Contact Author)

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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