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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
Year2006
VenueNational Bureau of Economic Research
Typereport
Citations12
DOI10.3386/w12658
OpenAlexW3023977377

Topics

Financial Markets and Investment StrategiesSpurious relationshipEconometricsCapital asset pricing modelRegressionRegression analysis