Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
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https://www.nber.org/papers/w12658
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资源简介：
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 predictive
提供机构：
美国国家经济研究局
创建时间：
2006-10-01
