Characteristic-Sorted Portfolios: Estimation and Inference
| Autor: | Max H. Farrell, Richard K. Crump, Ernst Schaumburg, Matias D. Cattaneo |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
FOS: Computer and information sciences
Estimation Economics and Econometrics General Economics (econ.GN) 050208 finance Computer science 05 social sciences Econometrics (econ.EM) Sorting Inference Popularity Methodology (stat.ME) FOS: Economics and business 0502 economics and business Econometrics Portfolio Statistics - Methodology Social Sciences (miscellaneous) Economics - Econometrics Economics - General Economics 050205 econometrics |
| Zdroj: | The Review of Economics and Statistics. 102:531-551 |
| ISSN: | 1530-9142 0034-6535 |
| DOI: | 10.1162/rest_a_00883 |
| Popis: | Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a general framework for portfolio sorting by casting it as a nonparametric estimator. We present valid asymptotic inference methods and a valid mean square error expansion of the estimator leading to an optimal choice for the number of portfolios. In practical settings, the optimal choice may be much larger than the standard choices of five or ten. To illustrate the relevance of our results, we revisit the size and momentum anomalies. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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