Spurious Regression and Data Mining in Conditional Asset Pricing Models

Financial Econometrics, Mathematics and Statistics ◽

10.1007/978-1-4939-9429-8_9 ◽

2019 ◽

pp. 243-275

Author(s):

Cheng-Few Lee ◽

Hong-Yi Chen ◽

John Lee

Keyword(s):

Data Mining ◽

Asset Pricing ◽

Pricing Models ◽

Spurious Regression ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Spurious Regression and Data Mining in Conditional Asset Pricing Models

Handbook of Quantitative Finance and Risk Management ◽

10.1007/978-0-387-77117-5_69 ◽

2010 ◽

pp. 1067-1090

Author(s):

Wayne Ferson ◽

Sergei Sarkissian ◽

Timothy Simin

Keyword(s):

Data Mining ◽

Asset Pricing ◽

Pricing Models ◽

Spurious Regression ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

SSRN Electronic Journal ◽

10.2139/ssrn.673501 ◽

2005 ◽

Author(s):

Manuel Ammann ◽

Michael Verhofen

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Asset Pricing ◽

Pricing Models ◽

Monte Carlo Approach ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Tests of conditional asset pricing models in the Brazilian stock market

Journal of International Money and Finance ◽

10.1016/s0261-5606(00)00045-0 ◽

2001 ◽

Vol 20 (1) ◽

pp. 71-90 ◽

Cited By ~ 10

Author(s):

René Garcia ◽

Marco Bonomo

Keyword(s):

Asset Pricing ◽

Stock Market ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed- versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs*

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbz009 ◽

2019 ◽

Vol 18 (4) ◽

pp. 736-775

Author(s):

Patrick Gagliardini ◽

Diego Ronchetti

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Estimation and Evaluation of Conditional Asset Pricing Models

The Journal of Finance ◽

10.1111/j.1540-6261.2011.01654.x ◽

2011 ◽

Vol 66 (3) ◽

pp. 873-909 ◽

Cited By ~ 77

Author(s):

STEFAN NAGEL ◽

KENNETH J. SINGLETON

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Corrigendum to “Estimation of conditional asset pricing models with integrated variables in the beta specification” [Res. Int. Bus. Finance 52 (2020) 101148]

Research in International Business and Finance ◽

10.1016/j.ribaf.2020.101369 ◽

2021 ◽

Vol 56 ◽

pp. 101369

Author(s):

Antonios Antypas ◽

Guglielmo Maria Caporale ◽

Nikolaos Kourogenis ◽

Nikitas Pittis

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Journal of Financial Econometrics ◽

10.1093/jjfinec/nby018 ◽

2018 ◽

Vol 18 (4) ◽

pp. 721-728

Author(s):

Sydney C Ludvigson

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

European Financial Management ◽

10.1111/j.1468-036x.2007.00359.x ◽

2008 ◽

Vol 14 (3) ◽

pp. 391-418 ◽

Cited By ~ 6

Author(s):

Manuel Ammann ◽

Michael Verhofen

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Asset Pricing ◽

Pricing Models ◽

Monte Carlo Approach ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Price Discovery in High Resolution, Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models, and Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models.Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbz042 ◽

2020 ◽

Keyword(s):

Asset Pricing ◽

High Resolution ◽

Price Discovery ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market

European Financial Management ◽

10.1111/j.1468-036x.2007.00401.x ◽

2007 ◽

Vol 13 (5) ◽

pp. 880-907 ◽

Cited By ~ 49

Author(s):

Andreas Schrimpf ◽

Michael Schröder ◽

Richard Stehle

Keyword(s):

Asset Pricing ◽

Stock Market ◽

Pricing Models ◽

Cross Sectional ◽

Asset Pricing Models ◽

German Stock ◽

Conditional Asset Pricing ◽

German Stock Market

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