Portfolio Return Characteristics of Different Industries

Igor Pouchkarev, Jaap Spronk and Pim Vliet

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

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: investments; performance evaluation; portfolio management; sector index; stock markets (search for similar items in EconPapers)
JEL-codes: C15 C43 G10 G3 M (search for similar items in EconPapers)
Date: 2003-02-11
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:272

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