Data-snooping Biases in Tests of Financial Asset Pricing Models

Abstract

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)

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