- Data are obtained from CompuStat Research insight
- Returns include dividend reinvestment
- Each year a market-value weighted return by sector is computed then the arithmetic mean over the entire sample is computed.
- Something looks fishy with Energy and InfoTech. I need to investigate the presence of any outliers.
- Update: regarding InfoTech, the dot-com run up prior to 2000 appears to be the reason for the high cross-sectional average Rs of 16.27%.
- Stay tuned for similar graphs using median instead of weighted mean calculations.
- The median P/E firm in each sector can be more representative of the “typical” firm than a value-weighted average (Goedhart, et al. 2002).