Issues to consider when creating different stock portfolios and calculating their returns

“

This articles basically describes how I constructed portfolios for my doctoral thesis. Publishers website should even contain the Matlab code I used to create the portfolios. Somewhat surprisingly, this article has been one of the most commonly cited articles of mine. Personally I regret that I did not emphasize in the article the fact that when calculating value-weighted returns, you should use percentage returns, not ln-returns.

”