Sorting Out Sorts

Preprint OPEN
Jonathan B. Berk;
(1998)
  • Subject:
    • jel: jel:G12 | jel:C22

In this paper we analyze the theoretical implications of sorting data into groups and then running asset pricing tests within each group. We show that the way this procedure is implemented introduces a severe bias in favor of rejecting the model under consideration. By ... View more
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