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Concept links and return momentum

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Incomplete consumption risk sharing and currency risk premiums

Sarkissian, Sergei - In: The review of financial studies 16 (2003) 3, pp. 983-1005

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Asset pricing models with conditional betas and alphas : the effects of data snooping and spurious regression

Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 331-354

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Asset pricing models with conditional betas and alphas : the effects of data snooping and spurious regression

Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - 2006

Persistent link: https://www.econbiz.de/10003389721

The alpha factor asset pricing model : a parable

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Asset Pricing Models with Conditional Betas and Alphas : The Effects of Data Snooping and Spurious Regression

Ferson, Wayne E. - 2006

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...

Persistent link: https://www.econbiz.de/10012466003