Abstract
Stock sector investing has become increasingly popular since the creation of the Global Industry Classification System in 1999, yet little academic research has explored sector behavior. This study begins to fill the void by examining how each sector contributes to the optimal risky portfolio over time. Using a much longer time series than previous studies, a crisp definition of sectors, and the perspective of mean Markowitz optimization, this study provides evidence that investors mostly price return and risk information efficiently. But they find it difficult to price sector-level correlation information efficiently into the optimal risky portfolio. TOPICS:Fundamental equity analysis, portfolio theory, statistical methods
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