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

Content Provider	Semantic Scholar
Author	Sarkissian, Sergei Simin, Timothy
Copyright Year	2005
Abstract	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 baised. Previous studies overstate the significance of timevarying alphas.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www-bcf.usc.edu/~ferson/papers/I2NT.PDF
Language	English
Access Restriction	Open
Subject Keyword	Data dredging Disease regression Estimated Regression - mental defense mechanism
Content Type	Text
Resource Type	Article

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