I got Datastream MV data for my sample and i want to exclude Preference Shares. Since Datastreams definition of MV is shares*price there are two Marketvalues, one for common stock, one for preference Share.
I want to calculate value weighted Portfolios:
Shall i include the MV of the preference shares to weight my common stock, so its weight is based on its firm.
Or shall i just use the MV for the common stock. There are firms like VW that have like 60/40 common stock/preference shares, so it definitely matters.
Any recommendations ? What is the typical procedure in the Literature ?
Thank you very much !