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

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

Content Provider	Scilit
Author	Ferson, Wayne E. Sarkissian, Sergei Simin, Timothy
Copyright Year	2008
Description	This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional betas, even in settings where simple predictive regressions are severely biased. However, there are biases in estimates of the conditional alphas. When time-varying alphas are suppressed and only time-varying betas are considered, the betas become biased. Previous studies overstate the significance of time-varying alphas.
Related Links	http://www.nber.org/papers/w12658.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/E5D5D6477B54EDBA8B36D6A3E40950C4/S0022109000003549a.pdf/div-class-title-asset-pricing-models-with-conditional-betas-and-alphas-the-effects-of-data-snooping-and-spurious-regression-div.pdf
Ending Page	353
Page Count	23
Starting Page	331
ISSN	00221090
e-ISSN	17566916
DOI	10.1017/s0022109000003549
Journal	Journal of Financial and Quantitative Analysis
Issue Number	2
Volume Number	43
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2008-06-01
Access Restriction	Open
Subject Keyword	Journal of Financial and Quantitative Analysis Spurious Regression Developing Country Asset Pricing Model
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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