@techreport{NBERw9049,
 title = "Evaluating Value Weighting: Corporate Events and Market Timing",
 author = "Owen A. Lamont",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "9049",
 year = "2002",
 month = "July",
 URL = "http://www.nber.org/papers/w9049",
 abstract = {Corporate events, such as new issues and new lists, appear in waves.  These waves imply that the market portfolio has a time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return. Most of the reduction in aggregate market returns caused by holding new lists comes from timing, not from average underperformance.   When new lists are a high fraction of the market, subsequent returns for both new and old lists are low.  A mean variance optimizing investor holding the market would be better off replacing holdings of new lists with old lists, t-bills, or even currency stuffed in a mattress.},
}