Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns.

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...

書誌詳細
主要な著者:	Patton, A, Timmermann, A
フォーマット:	Working paper
言語:	English
出版事項:	Oxford-Man Institute of Quantitative Finance 2008

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