Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
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- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
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JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
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