Data-snooping Biases in Tests of Financial Asset Pricing Models


We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically motivated characteristic of the securities such as market value… (More)


7 Figures and Tables


Citations per Year

229 Citations

Semantic Scholar estimates that this publication has 229 citations based on the available data.

See our FAQ for additional information.

Cite this paper

@inproceedings{LoDatasnoopingBI, title={Data-snooping Biases in Tests of Financial Asset Pricing Models}, author={Andrew W. Lo and C J Mackinlay} }