Ernstberger, J.; Haupt, H.; Vogler, O. - In: Applied Financial Economics 21 (2011) 18, pp. 1381-1396
This article investigates the role of sorting portfolios in evaluating asset-pricing models. With the rising number of empirical studies about asset-pricing models, the comparability of these effects suffers from (1) different aggregational levels of firm returns, (2) different models, i.e....
