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Age matters

Author

Listed:
  • Guo, Danqiao
  • Boyle, Phelim
  • Weng, Chengguo
  • Wirjanto, Tony

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.

Suggested Citation

  • Guo, Danqiao & Boyle, Phelim & Weng, Chengguo & Wirjanto, Tony, 2019. "Age matters," MPRA Paper 93653, University Library of Munich, Germany, revised 01 May 2019.
    • Handle: RePEc:pra:mprapa:93653
    as

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    File URL: https://mpra.ub.uni-muenchen.de/93653/1/MPRA_paper_93653.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Bootstrapped portfolio; rebalanced portfolio; age effect; size effect;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

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