Search Results

SORT BY: PREVIOUS / NEXT
Keywords:beta pricing models 

Report
Beta-Sorted Portfolios

Beta-sorted portfolios—portfolios comprised of assets with similar covariation to selected risk factors—are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known ...
Staff Reports , Paper 1068

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

C12 1 items

C14 1 items

G12 1 items

FILTER BY Keywords

PREVIOUS / NEXT