| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12658 |
| 来源ID | Working Paper 12658 |
| Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression | |
| Wayne E. Ferson; Sergei Sarkissian; Timothy Simin | |
| 发表日期 | 2006-10-31 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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 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 baised. Previous studies overstate the significance of time-varying alphas. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12658 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570320 |
| 推荐引用方式 GB/T 7714 | Wayne E. Ferson,Sergei Sarkissian,Timothy Simin. Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12658.pdf（374KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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