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A Straightforward Analysis of Sector Portfolios in the US Stock Market

Author

Listed:
  • Francisco JAREÑO
  • Marta TOLENTINO
  • Loredana NEGRUT

Abstract

This research focuses on analysing the US stock market in recent years –specifically the US stock market, that is, Dow Jones index, and six sector portfolios (Financials, Energy, Technology, Health Care, Consumer Discretionary and Telecommunications)-. All sectors achieve higher returns than expected according to the CAPM (except the “Consumer Discretionary” sector). Moreover, this fact is confirmed with the Security Market Line (SML). Thus, these results help investors to choose the most suitable sectors in the investment horizon. Therefore, this research includes relevant implications to portfolio managers to reduce the risk and maximize the return.

Suggested Citation

  • Francisco JAREÑO & Marta TOLENTINO & Loredana NEGRUT, 2016. "A Straightforward Analysis of Sector Portfolios in the US Stock Market," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1), pages 105-114.
    • Handle: RePEc:eaa:aeinde:v:16:y:2016:i:1_9
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    File URL: http://www.usc.es/~economet/reviews/aeid1619.pdf
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    Full references (including those not matched with items on IDEAS)

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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. 38. Selected Readings on World Development in journal AEID: America, 2001-2020
      by MCG Blogs de Economía in Euro-American Association: World Development on 2020-01-17 20:24:00

    Citations

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    Cited by:

    1. Francisco JAREÑO & Marta TOLENTINO & María de la O GONZÁLEZ, 2018. "The Us Stock Market At Sector Level: Inflation News, 1990-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 18(1), pages 73-86.
    2. Reza Bradrania & Davood Pirayesh Neghab & Mojtaba Shafizadeh, 2022. "State-dependent stock selection in index tracking: a machine learning approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 1-28, March.

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    More about this item

    Keywords

    US Stock Market; CAPM; Portfolio Management; Sector Analysis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada

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