Characteristic|Sorted Portfolios
Portfolio sorting is an important tool of modern empirical finance. It has been used to test fundamental theories in asset pricing, to establish a number of ...
Characteristic-Sorted Portfolios: Estimation and Inference
We develop a general framework for portfolio sorting by casting it as a nonparametric estimator. We present valid asymptotic inference methods.
Characteristic-Sorted Portfolios: Estimation and Inference - arXiv
Title:Characteristic-Sorted Portfolios: Estimation and Inference ... Abstract:Portfolio sorting is ubiquitous in the empirical finance literature, ...
The Performance of Characteristic-Sorted Portfolios
Abstract. We present a statistical model that accounts for persistent fluctuations in characteristic- sorted portfolio returns. The model provides a simple ...
The Performance of Characteristic-Sorted Portfolios
analysis concerns characteristic-sorted portfolios rather than the aggregate market portfolio, and we put greater emphasis on prior beliefs about ...
Characteristic-Sorted Portfolios: Estimation and Inference
We develop a general, formal framework for portfolio sorting by casting the procedure as a nonparametric estimator. Sorting into portfolios has ...
Characteristic-based portfolio sorting is a widely used procedure in modern empirical fi- nance. It has been deployed to test theories in asset pricing, ...
[PDF] Characteristic-Sorted Portfolios: Estimation and Inference
A general framework for portfolio sorting is developed by casting it as a nonparametric estimator by presenting valid asymptotic inference methods and a ...
Full article: Optimal characteristic portfolios - Taylor & Francis Online
In this paper, we propose an alternative methodology to construct quantitative factors based on a mean–variance optimization procedure.
The Performance of Characteristic-Sorted Portfolios: Evaluating the ...
We study the fluctuating performance of characteristic-sorted portfolios through the lens of a statistical model that allows for persistent ...
Characteristic-sorted portfolios and macroeconomic risks—An ...
Employing an optimal orthogonalization approach, the explained variation in each characteristic-sorted portfolio is decomposed into components associated with ...
The Performance of Characteristic-Sorted Portfolios - ABFER
The Performance of Characteristic-Sorted Portfolios: Evaluating the Past and Predicting the Future ... The expected returns of most portfolios are likely to ...
Optimal Characteristic Portfolios - Search eLibrary :: SSRN
Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset ...
Optimal characteristic portfolios - Taylor & Francis Online
Characteristic portfolio weights are implied directly from data, through maximizing a Mean–Variance objective function with mean and variance ...
Characteristic-sorted portfolios: Estimation and inference
AB - —Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite ...
Characteristic-sorted portfolios and macroeconomic risks—An ...
In this article, we examine the sensitivity of the returns of the most prominent characteristic-sorted portfolios to orthogonalized macroeconomic state ...
Univariate Portfolio Sorts with R - Tidy Finance
In general, the idea is to sort individual stocks into portfolios, where the stocks within each portfolio are similar with respect to a sorting variable, such ...
Replication Data for: "Characteristic-Sorted Portfolios
Replication Data for: "Characteristic-Sorted Portfolios: Estimation and Inference" ... Learn about Data Citation Standards.
The differences between factor- adjusted returns and characteristics-adjusted returns for these beta-sorted portfolios are both economically and statistically ...
Factors vs characteristics - which drives expected returns?
The “characteristic balanced” portfolio is a portfolio where the long and short have different factor loadings but similar characteristics.