Portfolio Return Characteristics of Different Industries

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether this also holds for portfolios of stocks from a growth industry. Furthermore, we will compare this type of portfolios with portfolios of stocks from a more traditional industry. Usually, only value weighted and equally weighted portfolios are used to describe and compare portfolio return characteristics. Instead, in our analysis, we use a novel approach in which we use an infinite number of portfolios that together represent the set of all feasible portfolio opportunities. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) HG4636 Stock price indexes M Business Administration and Business Economics G 3 Corporate Finance and Governance Journal of Economic Literature (JEL) C 15 C 43 G 10 Statistical Simulation Methods; Monte Carlo Methods Index Numbers and Aggregation General Financial Markets: General 85 A Business General 220 A Financial Management European Business Schools Library Group (EBSLG) 220 Q Stock and bond markets Gemeenschappelijke Onderwerpsontsluiting (GOO) 85.00 Bedrijfskunde, Organisatiekunde: algemeen 85.30 Financieel management, financiering Classification GOO 85.33 Beleggingsleer Bedrijfskunde / Bedrijfseconomie Accountancy, financieel management, bedrijfsfinanciering, besliskunde