TY  - JOUR
AU  - Berk,Jonathan B.
TI  - Sorting Out Sorts
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 235
PY  - 1998
Y2  - September 1998
UR  - http://www.nber.org/papers/t0235
L1  - http://www.nber.org/papers/t0235.pdf
N1  - Author contact info:
Jonathan B. Berk
Graduate School of Business
Stanford University
518 Memorial Way
Stanford CA 94305-5015
Tel: 650/721-1280
Fax: 650/725-6152
E-Mail: jonathan.b.berk@gmail.com
AB  - 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 severe bias in favor of rejecting the model under consideration.  By simply picking enough groups to sort into even the true asset pricing model can be shown to have no explanatory power within each group.
ER  -