Age matters

Danqiao Guo, Phelim Boyle, Chengguo Weng and Tony Wirjanto

MPRA Paper from University Library of Munich, Germany

Abstract: This paper starts from examining the performance of equally weighted 1/N stock portfolios over time. During the last four decades these portfolios outperformed the market. The construction of these portfolios implies that their constituent stocks are in general older than those in the market as a whole. We show that the differential performance can be explained by the relation between stock returns and firm age. We document a significant relation between age and returns. Since 1977 stock returns have been an increasing function of age apart from the oldest ages. For this period the age effect completely dominates the size effect.

Keywords: Bootstrapped portfolio; rebalanced portfolio; age effect; size effect (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2019-05-01, Revised 2019-05-01
New Economics Papers: this item is included in nep-his
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:93653

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