Asset pricing models with conditional betas and alphas : the effects of data snooping and spurious regression
Year of publication: |
2008
|
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Authors: | Ferson, Wayne E. ; Sarkissian, Sergei ; Simin, Timothy T. |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 43.2008, 2, p. 331-354
|
Subject: | CAPM | Data Mining | Data mining | Regressionsanalyse | Regression analysis |
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