Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a … general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non …-uniform and depends on the beta value of interest. We also show that the widely-used Fama-MacBeth variance estimator is …