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Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

Wayne E. Ferson, Sergei Sarkissian, Timothy T. Simin
Year2008
VenueJournal of Financial and Quantitative Analysis
Typearticle
Citations52
DOI10.1017/s0022109000003549
OpenAlexW2136447435

Topics

Financial Markets and Investment StrategiesSpurious relationshipEconometricsCapital asset pricing modelRegressionRegression analysis