Abstract

http://ssrn.com/abstract=226644
 
 

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Sorting Out Sorts


Jonathan Berk


Stanford Graduate School of Business; National Bureau of Economic Research (NBER)

September 1998

NBER Working Paper No. t0235

Abstract:     
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 simply picking enough groups to sort into even the true asset pricing model can be shown to have no explanatory power within each group.

Number of Pages in PDF File: 22

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Date posted: July 10, 2000  

Suggested Citation

Berk, Jonathan, Sorting Out Sorts (September 1998). NBER Working Paper No. t0235. Available at SSRN: http://ssrn.com/abstract=226644

Contact Information

Jonathan B. Berk (Contact Author)
Stanford Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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