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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 !

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    $\begingroup$ This may have to be researched on a stock by stock basis: what do well known index providers do? I researched the case of Eurostoxx index stoxx.com/component-details?key=EG7 and VW. To my surprise only the preference shares of VW (DE0007664039) are included in the index, not the common. In most other cases I think it would be only the common shares. More research is needed. $\endgroup$
    – Alex C
    Commented Sep 5, 2019 at 1:58
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    $\begingroup$ ... I vaguely remember that most ordinary shares of VW are owned by one family, so they are not considered publicly available.... to be confirmed. $\endgroup$
    – Alex C
    Commented Sep 5, 2019 at 2:07
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    $\begingroup$ Researchers typically use CRSP Share Code 10,11 . So preference shares are excluded. However i don't know if they value weight their Portfolios by the company Market Cap or the common Stock market cap Interesting point with the Eurostoxx, would've thought the opposite would be true :D $\endgroup$
    – KDMS
    Commented Sep 5, 2019 at 10:48

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