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A Test of Industry Indices Based on SIC Codes

Published online by Cambridge University Press:  19 October 2009

Leonard Fertuck
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 5 , December 1975 , pp. 837 - 848
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

REFERENCES

[1]Johnson, S. C. “Hierarchical Clustering Schemes.” Psychometrika, vol. 32, no. 3 (September 1967), pp. 241–254.Google Scholar
[2]King, B. F. “Market and Industry Factors in Stock Price Behavior.” Journal of Business (January 1966), pp. 139–189.Google Scholar
[3]Meyers, S. L. “A Reexamination of Market and Industry Factors in Stock Price Behavior.” Journal of Finance, vol. 28, no. 3 (1973), pp. 695–705.Google Scholar
[4]Standard Industrial Classification Manual. U.S. Government Printing Office, (1967).Google Scholar