Characteristic-sorted portfolios: Estimation and inference
Year of publication: |
2016
|
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Authors: | Cattaneo, Matias D. ; Crump, Richard K. ; Farrell, Max H. ; Schaumburg, Ernst |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | portfolio sorts | stock market anomalies | firm characteristics | nonparametric estimation | partitioning | cross-sectional regressions |
Series: | Staff Report ; 788 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 866186387 [GVK] hdl:10419/146687 [Handle] RePEc:fip:fednsr:788 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C23 - Models with Panel Data ; C51 - Model Construction and Estimation ; G12 - Asset Pricing |
Source: |
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Characteristic-sorted portfolios : estimation and inference
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