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