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

Journal of Financial and Quantitative Analysis

Volumn 43, Issue 2, 2008, Pages 331-354

  Ferson, Wayne E ^a   Sarkissian, Sergei ^b   Simin, Timothy ^c  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b MCGILL UNIVERSITY   (Canada)

^c PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 46849109129     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000003549     Document Type: Article

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