Statistical model selection criteria provide an informed choice of the model with best external (i.e., out-of-sample) validity. Therefore, they guard against overfitting (quot;data snoopingquot;). We implement several model selection criteria in order to verify recent evidence of predictability...

An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a...

Efficiency in the IPO (Initial Public Offering) aftermarket is tested without imposing any restrictions on the priors about potential default at the issue date. Merging Ritter's extended dataset (which covers the period 1975-84) with the CRSP tapes, IPOs are followed up to ten years after issue....

We propose a new way of testing the mean-variance efficiency of well-diversified portfolios on large cross-sections of extremely short return histories. The methodology consists of a sequence of simple tests, the results of which are aggregated in a statistic. This statistic is shown to be...