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- W3156404694 abstract "Sorting asset attributes over a prior period and constructing portfolios based on these rankings is a technique widely used by both academics and practitioners. This chapter provides an overview of the literature on sorting and the key empirical findings. Kan and Berk both describe the procedure of sorting and its role in testing asset pricing models. The aim is to eliminate within-portfolio variation and to maximise the between-portfolio variation. The chapter reviews independent sorting and sequential sorting of asset attributes, or factors, most commonly used in portfolio construction, and derives distributional properties of corresponding portfolio returns over a holding period. It develops the theoretical framework and obtains some key results for analysing the properties of the returns on Fama-French portfolios. The chapter also discusses investment strategies and provides a mathematically precise definition of the Fama-French factors." @default.
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- W3156404694 date "2020-11-16" @default.
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- W3156404694 title "Theoretical Analysis of the Fama‐French Portfolios" @default.
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- W3156404694 doi "https://doi.org/10.1002/9781119599364.ch10" @default.
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