Portfolio Return Characteristics of Different Industries

Over the last decade we have witnessed the rise and fall of theso-called new economy stocks. One central question is to what extentthese new firms differ from traditional firms. Empirical evidencesuggests that stock returns are not normally distributed. In thisarticle we investigate whether this also holds for portfolios ofstocks from a growth industry. Furthermore, we will compare this typeof portfolios with portfolios of stocks from a more traditionalindustry. Usually, only value weighted and equally weighted portfoliosare used to describe and compare portfolio return characteristics.Instead, in our analysis, we use a novel approach in which we use aninfinite number of portfolios that together represent the set of allfeasible portfolio opportunities