Sorting Out Sorts  

Oleh:

Berk, Jonathan B.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 407-428.
Topik: SORTING; sampling techniques; methods; stock prices; rates of return; studies
Fulltext: p 407.pdf (116.84KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 bias in favor of rejecting the model under consideration. By simply picking enough groups to sort into, the true asset pricing model can be shown to have no explanatory power within each group.

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