Sorting Out Sorts
分析将数据分组后在各组内进行资产定价检验的理论含义，证明该过程会引入偏差，倾向于拒绝所检验的模型。
In this paper we analyze the theoretical implications of sorting data into groups and then running asset pricing tests within each group. We show that the way this procedure is implemented introduces a bias in favor of rejecting the model under consideration. By simply picking enough groups to sort into, the true asset pricing model can be shown to have no explanatory power within each group.