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The Global Rise of the Value-Weighted Portfolio

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  • Bhattacharya, Utpal
  • Galpin, Neal

Abstract

We first develop a theory-based metric to judge the popularity of value weighting in a stock market. We then use our metric to document that although value weighting is less popular in emerging markets than in developed markets, its popularity is increasing almost everywhere. Finally, as we have better data for the United States, we explore why value weighting is becoming more popular in the United States.

Suggested Citation

  • Bhattacharya, Utpal & Galpin, Neal, 2011. "The Global Rise of the Value-Weighted Portfolio," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(03), pages 737-756, June.
  • Handle: RePEc:cup:jfinqa:v:46:y:2011:i:03:p:737-756_00
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    Cited by:

    1. Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2015. "Cross-sectoral interactions in Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 1-20.
    2. Claessens, Stijn & Yafeh, Yishay, 2008. "Additions to Market Indices and the Comovement of Stock Returns around the World," CEPR Discussion Papers 7052, C.E.P.R. Discussion Papers.
    3. repec:spr:eurasi:v:7:y:2017:i:3:d:10.1007_s40821-016-0056-2 is not listed on IDEAS
    4. repec:oup:rasset:v:5:y:2015:i:2:p:156-184. is not listed on IDEAS

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