Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy - In: Journal of Financial and Quantitative Analysis 43 (2008) 02, pp. 331-353
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...