The Global Rise of the Value-Weighted Portfolio

Bhattacharya , Utpal; Galpin, Neal

doi:10.2139/ssrn.849627

Download This Paper

Open PDF in Browser

Add Paper to My Library

The Global Rise of the Value-Weighted Portfolio

AFA 2007 Chicago Meetings Paper

35 Pages Posted: 18 Nov 2005

See all articles by Utpal Bhattacharya

Neal Galpin

Monash University - Department of Banking and Finance

There 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: Suggested Citation

Bhattacharya, Utpal and Galpin, Neal E., 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