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Equal or Value Weighting? Implications for Asset-Pricing Tests

Equal or Value Weighting? Implications for Asset-Pricing TestsApril 2014 Yuliya PlyakhaUniversity of LuxembourgRaman UppalEDHEC Business SchoolGrigory VilkovMannheim University and Goethe University Frankfurt2 AbstractDoes the choice of weighting scheme used to form test portfolios influence inferences drawn from empirical Tests of asset pricing? To answer this question we first show that, with monthly rebalancing, an Equal - weighted portfolio outperforms a Value - weighted portfolio in terms of total mean return, four-factor alpha, and Sharpe ratio.

1. Introduction On the one hand, the value-weighted “market“ portfolio has played a central role in asset pricing, for instance in the Capital Asset Pricing Model of Sharpe (1964), On the other hand, the use of equal-weighted mean returns is ubiquitous in empirical finance. 1 Does the choice between equal-

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