The theory behind this is that typical workflow tends to accentuate detail. "Filtering", by which I think you mean some sort of noise reduction and/or blurring, supresses unwanted detail and sharpening emphasizes desireable detailss. This implies that you want to get rid of the unwelcome details before your workflow makes the problem worse. And since sharpening requires some tuning by eye, it should come last so that subsequent moves don't throw off this tuning.
This is not a hard and fast rule. For example, I often sharpen the L channel in LAB and then convert to CMYK to make black channel changes. In this situtation, though, it's worth considering sharpening the black channel in CMYK instead of the L channel in LAB. Another example, I often use RGB curves for simple cast removal before anything else.
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Sharpen is always best at the end of your PP.
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Some folks filter early and then sharpen lightly before futher processing, and then finally sharpen for printing.
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This is not a hard and fast rule. For example, I often sharpen the L channel in LAB and then convert to CMYK to make black channel changes. In this situtation, though, it's worth considering sharpening the black channel in CMYK instead of the L channel in LAB. Another example, I often use RGB curves for simple cast removal before anything else.