Methodological Uncertainty in Portfolio Sorts

This repository contains code for "Methodological Uncertainty in Portfolio Sorts" (joint work with Dominik Walter and Rüdiger Weber). The manuscript was previously circulated as "Non-Standard Errors in Portfolio Sorts".

We share the full replication code and an all-in-one solution. The later covers all steps from data download to the actual portfolio sorts that embrace NSE by constructing 69,120 return differentials as estimates for the variable asset growth. There is a blog post on the Tidy Finance Blog covering this very solution.

The code is open source and available here. Please cite the corresponding paper:

@article{www_2024,
  title={Methodological uncertainty in portfolio sorts},
  author={Walter, Dominik and Weber, R{\"u}diger and Weiss, Patrick},
  journal={Available at SSRN 4164117},
  year={2024}
}

• Draft on SSRN: See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4164117
• Internet Appendix: See folder Internet Appendix
• For the replication code, the files 21-27 are set up for use on a cluster (reach out if you need any help).

We look for your feedback: Contact Patrick via patrickw@ru.is

Code: Tidy Finance with R

The project's code is inspired by Tidy Finance with R (joint work with Christoph Scheuch and Stefan Voigt).

• Read the book at https://www.tidy-finance.org
• The Tidy Finance Blog also features a post on NSE in portfolio sort
• Use the code for your own projects after diligently checking it
• Please acknowledge the source

 

 

Visit Patrick's webpage for more information.