Non-Standard Errors in Portfolio Sorts

Forking paths in empirical studies

“…Its main goal is to illustrate the concept of exhaustive multiple testing presented in Section 2.5. Our conclusions on the sensitivity of design choices corroborate some findings in the recent similar studies of Bessembinder et al (2022), Soebhag et al (2023) and Walter et al (2023).…”

“…Two examples of the second type of studies are Asness and Frazzini (2013) and Amenc et al (2020), wherein the authors focus solely on the value anomaly, but propose alternative ways to construct value factors. Similar analyses have been carried out for the momentum anomaly (see Novy-Marx (2012) and Gong et al (2015)), and, more generally, to a broad scope of anomalies in Soebhag et al (2023) and Walter et al (2023).…”

“…Forking paths are tackled via the notion of non-standard errors for asset pricing anomalies inSoebhag et al (2023) andWalter et al (2023).…”