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8. Data-Snooping Biases in Tests of Financial Asset Pricing Models · Study

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Chapter8. Data-Snooping Biases in Tests of Financial Asset Pricing Models

Andrew W. Lo2011

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8. Data-Snooping Biases in Tests of Financial Asset Pricing Models

Andrew W. Lo · A. Craig MacKinlay

279 citations·0/0 files stored·Princeton University Press eBooks

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

HD28 .M414 no.3020-, 89, 1989c,

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1981The relationship between return and market value of common stocks 1986Economic Forces and the Stock Market 1972The capital asset pricing model: Some empirical tests 1989A Test of the Efficiency of a Given Portfolio 1985Stock Returns and the Term Structure 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

Cited by

2016Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets 2001Stock Return Predictability: A Bayesian Model Selection Perspective 2019Anomalies across the globe: Once public, no longer existent?2005Systemic Risk and Hedge Funds 2000A Review of Estimates of the Schooling/Earnings Relationship, with Tests for Publication Bias 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule

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Details

Year2011

Typechapter

Published2011-12-31

VenuePrinceton University Press eBooks

Languageen

Citations279

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1515/9781400829095.213

openalex_workW1998507386

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2010

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

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