Boguth, Oliver; Carlson, Murray; Fisher, Adlai; … - In: Journal of Financial Economics 102 (2011) 2, pp. 363-389
Unconditional alphas are biased when conditional beta covaries with the market risk premium (market timing) or volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist estimates risk using information, such as a realized beta,...