Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns.
Portfolio sorts are used extensively in finance to explore the relation between firm characteristics and expected returns. Existing empirical tests have largely been limited, however, to comparing expected returns of the top and bottom ranked portfolios. We propose a new and general approach to test...
| Main Authors: | , |
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| פורמט: | Working paper |
| שפה: | English |
| יצא לאור: |
Oxford-Man Institute of Quantitative Finance
2008
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