Non-Standard Errors in Portfolio Sorts

This repository contains code for: "Non-Standard Errors in Portfolio Sorts" (joint work with Dominik Walter and Rüdiger Weber).

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

• Draft on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4164117
• Code: see folder Code, the files 21-23 are set up for use on a cluster (reach out if you need guidance)
• Internet Appendix: see folder Internet Appendix

We look for your feedback: Contact me via [email protected]

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 code comes without guarantees
• Errors made here are my own

 

 

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