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Data-Snooping Biases in Tests of Financial Asset Pricing Models
16 references·16 citing·33 second hopsampled
Data-Snooping Biases in Tests of Financial Asset Pricing Models (1989)Data-Snooping Biases in Tests of Financia…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…The empirical foundations of the arbitrage pricing theory (1988)The empirical foundations of …An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk (1988)An Unconditional Asset-Pricin…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Testing asset pricing models with changing expectations and an unobservable market portfolio (1985)Testing asset pricing models …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…An exploratory investigation of the firm size effect (1985)An exploratory investigation …New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…Funds, Factors, and Diversification in Arbitrage Pricing Models (1983)Funds, Factors, and Diversifi…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…A Backtesting Protocol in the Era of Machine Learning (2019)A Backtesting Protocol in the…Carbon Risk (2017)Carbon RiskCross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics (2015)Cross-Sectional Asset Pricing…Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs (2011)Technical Trading Revisited: …Advances in Forecast Evaluation (2011)Advances in Forecast Evaluati…Warning: Physics Envy May be Hazardous to Your Wealth! (2010)Warning: Physics Envy May be …Using Individual Stocks or Portfolios in Tests of Factor Models (2008)Using Individual Stocks or Po…High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2008)High Idiosyncratic Volatility…Predicting stock returns☆ (2006)Predicting stock returns☆Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market (2006)Idiosyncratic volatility, fun…Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations (2006)Estimating and Testing Beta P…Reexamining the Profitability of Technical Analysis with Data Snooping Checks (2005)Reexamining the Profitability…Bayesian Analysis of Stochastic Betas (2005)Bayesian Analysis of Stochast…Comparing Possible Proxies of Corporate Bond Liquidity (2003)Comparing Possible Proxies of…Institutional Allocation in Initial Public Offerings: Empirical Evidence (2001)Institutional Allocation in I…Dotcom Mania: A Survey of Market Efficiency in the Internet Sector (2001)Dotcom Mania: A Survey of Mar…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Integration vs. Segmentation in the Canadian Stock Market (1986)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Portfolio Selection: Efficient Diversification of Investments (1959)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)Industry costs of equity (1997)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1983Funds, Factors, and Diversification in Arbitrage Pricing Models496 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1988The empirical foundations of the arbitrage pricing theory366 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited
  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio293 cited

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  • 1988An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk246 cited
  • Cited by

    • 2005Reexamining the Profitability of Technical Analysis with Data Snooping Checks189 cited
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    • 2006Predicting stock returns☆169 cited
    • 2010Warning: Physics Envy May be Hazardous to Your Wealth!158 cited
    • 2005Bayesian Analysis of Stochastic Betas133 cited
    • 2003Comparing Possible Proxies of Corporate Bond Liquidity111 cited
    • 2001Institutional Allocation in Initial Public Offerings: Empirical Evidence111 cited
    • 2008Using Individual Stocks or Portfolios in Tests of Factor Models93 cited
    • 2006Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations89 cited
    • 2015Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics89 cited
    • 2019A Backtesting Protocol in the Era of Machine Learning87 cited
    • 2006Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market76 cited
    • 2011Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs68 cited
    • 2011Advances in Forecast Evaluation55 cited
    • 2017Carbon Risk52 cited
    • 2001Dotcom Mania: A Survey of Market Efficiency in the Internet Sector49 cited