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

2006 ◽  
Author(s):  
Wayne Ferson ◽  
Sergei Sarkissian ◽  
Timothy Simin
Keyword(s):  
Asset Pricing ◽  
Data Snooping ◽  
Pricing Models ◽  
Spurious Regression ◽  
Asset Pricing Models ◽  
Conditional Betas

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

2008 ◽  
Vol 43 (2) ◽  
pp. 331-353 ◽  
Author(s):  
Wayne E. Ferson ◽  
Sergei Sarkissian ◽  
Timothy Simin
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Data Snooping ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Spurious Regression ◽  
Predictive Regressions ◽  
Asset Pricing Models ◽  
Conditional Betas

AbstractThis 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 predictive regressions are severely biased. However, there are biases in estimates of the conditional alphas. When time-varying alphas are suppressed and only time-varying betas are considered, the betas become biased. Previous studies overstate the significance of time-varying alphas.

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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