Template-Type: ReDIF-Paper 1.0
Author-Name: Pouchkarev, I.
Author-Name-Last: Pouchkarev
Author-Name-First: Igor
Author-Name: Spronk, J.
Author-Name-Last: Spronk
Author-Name-First: Jaap
Author-Person: psp8
Author-Name: van Vliet, P.
Author-Name-Last: van Vliet
Author-Name-First: Pim
Author-Person: pvl6
Title: Portfolio Return Characteristics of Different Industries
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.
Creation-Date: 2003-02-11
File-URL: https://repub.eur.nl/pub/272/erimrs20030211172513.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2003-014-F&A
Classification-JEL: C15, C43, G10, G3, M
Keywords: investments, performance evaluation, portfolio management, sector index, stock markets
Handle: RePEc:ems:eureri:272