Beta-Sorted Portfolios

no code implementations • 23 Aug 2022 • Matias D. Cattaneo, Richard K. Crump, Weining Wang

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.

Uncertainty Quantification

On Binscatter

2 code implementations • 25 Feb 2019 • Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, Yingjie Feng

Binscatter is a popular method for visualizing bivariate relationships and conducting informal specification testing.

Binscatter Regressions

1 code implementation • 25 Feb 2019 • Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, Yingjie Feng

The first four commands implement point estimation and uncertainty quantification (confidence intervals and confidence bands) for canonical and extended least squares binscatter regression (binsreg) as well as generalized nonlinear binscatter regression (binslogit for Logit regression, binsprobit for Probit regression, and binsqreg for quantile regression).

regression Uncertainty Quantification

Characteristic-Sorted Portfolios: Estimation and Inference

1 code implementation • 10 Sep 2018 • Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, Ernst Schaumburg

We develop a general framework for portfolio sorting by casting it as a nonparametric estimator.

valid