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The Global Rise of the Value-Weighted Portfolio

Published online by Cambridge University Press:  15 February 2011

Utpal Bhattacharya  and
Neal Galpin
Utpal Bhattacharya
Affiliation:
Kelley School of Business, Indiana University, 1309 E. 10th St., Bloomington, IN 47405. [email protected]
Neal Galpin
Affiliation:
Mays Business School, Texas A&M University, 360 Wehner Bldg., College Station, TX 77845. [email protected]
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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.

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 46 , Issue 3 , June 2011 , pp. 737 - 756
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2011

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