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A Test of Industry Indices Based on SIC Codes

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  • Fertuck, Leonard

Abstract

The first major study of industry effects in market returns was performed by King [2]. He used principal components analysis and clustering techniques on a sample of 63 companies chosen from six 2-digit industries based on Security and Exchange Commission codes. SEC codes are similar to the Standard Industrial Classification codes defined by the U.S. Bureau of the Budget [4]. SIC codes are 4-digit codes based on the principal end product of the firm. They are chosen so that, as the lowest order digit is removed, the companies are aggregated into broader but still similar groups.

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  • Fertuck, Leonard, 1975. "A Test of Industry Indices Based on SIC Codes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 837-848, December.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:05:p:837-848_01
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    Cited by:

    1. Christensen, Jesper Lindgaard, 2013. "The ability of current statistical classifications to separate services and manufacturing," Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 47-60.
    2. Kathleen M. Kahle & Ralph A. Walkling, "undated". "The Impact of Industry Classifications on Financial Research," Research in Financial Economics 9607, Ohio State University.
    3. Rodolphe Durand & Robert M. Grant & Tammy L. Madsen & Gino Cattani & Joseph F. Porac & Howard Thomas, 2017. "Categories and competition," Strategic Management Journal, Wiley Blackwell, vol. 38(1), pages 64-92, January.
    4. David Flacher & Jacques Pelletan, 2007. "Le concept d'industrie et sa mesure : origines, limites et perspectives - Une application à l'étude des mutations industrielles," Économie et Statistique, Programme National Persée, vol. 405(1), pages 13-46.
    5. Yasser Alhenawi & Martha L. Stilwell, 2019. "Toward a complete definition of relatedness in merger and acquisition transactions," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 351-396, August.
    6. Christian Weiner, 2005. "The Impact of Industry Classification Schemes on Financial Research," SFB 649 Discussion Papers SFB649DP2005-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    8. Bing Xiang, 1993. "The Choice of Return†Generating Models and Cross†Sectional Dependence in Event Studies," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 365-394, March.
    9. Kumar, V. & Ramaswami, Sridhar N. & Srivastava, Rajendra K., 2000. "A Model to Explain Shareholder Returns: Marketing Implications," Journal of Business Research, Elsevier, vol. 50(2), pages 157-167, November.

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