Sorting out sorts

Journal of Finance

Volumn 55, Issue 1, 2000, Pages 407-427

  Berk, Jonathan B ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040141966     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00210     Document Type: Article

References (10)

1. Black, Fischer, Michael C. Jensen, and Myron Scholes, 1972, The capital asset pricing model: Some empirical tests; in Michael C. Jensen ed.: Studies in the Theory of Capital Markets (Praeger Publishers, New York).
2. Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1-34.
3. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-466.
4. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
5. Huang, Chi-fu, and Robert H. Litzenberger, 1988, Foundations for Financial Economics (North-Holland, New York).
6. Kim, Dongcheol, 1996, The errors in the variables problem in the cross-section of expected stock returns, Journal of Finance 50, 1605-1634.
7. Liang, Bing, 2000, Portfolio formation, measurement errors, and beta shifts: A random sampling approach, Journal of Financial Research, forthcoming.
8. Litzenberger, Robert H., and Krishna Ramaswamy, 1979, The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence, Journal of Financial Economics 7, 163-196.
9. Litzenberger, Robert H., and Krishna Ramaswamy, 1980, Dividends, short selling restrictions, tax-induced investor clienteles and market equilibrium, Journal of Finance 37, 469-482.
10. Lo, Andrew W., and A. Craig MacKinlay, 1990, Data-snooping biases in tests of financial asset pricing models, Review of Financial Studies 3, 431-468.