ABSTRACT
In this chapter, the authors continue with portfolio sorts in a univariate setting. Yet, they consider firm size as a sorting variable, which gives rise to a well-known return factor: the size premium. The authors introduce the rlang package for more advanced parsing of functional expressions. The term non-standard errors refers to the variation due to choices made by researchers. Interestingly, in a large scale study, Menkveld et al. find that the magnitude of non-standard errors are similar than the estimation uncertainty based on a chosen model which shows how important it is to adjust for the seemingly innocent choices in the data preparation and evaluation workflow.
