Data-Snooping Biases in Tests of Financial Asset Pricing Models

Review of Financial Studies - Tập 3 Số 3 - Trang 431-467 - 1990
Andrew W. Lo1, A. Craig MacKinlay2
1Sloan School of Management, Massachusetts Institute of Technology,
2Wharton School, University of Pennsylvania,

Tóm tắt

Từ khóa


Tài liệu tham khảo

Aldous D. , 1989, Probability Approximations via the Poisson Clumping Heuristic, Springer, New York.

Banz R. W. , 1978, “Limited Diversification and Market Equilibrium: An Empirical Analysis,” Ph.D. dissertation, University of Chicago.

10.1016/0304-405X(81)90018-0

Berger J. Wolpert R. , 1984, The Likelihood principle, Lecture Notes—Monograph Series Volume 6, Institute of Mathematical Statistics, Hayward, Cal.

10.1214/aos/1176342823

Bhattacharya P. K. , 1984, “Induced Order Statistics: Theory and Applications,” in Krishnaiah P. R. Sen P. K. (eds.), Handbook of Statistics 4: Nonparametric Methods, North-Holland, Amsterdam.

Black F. Jensen M. Scholes M. , 1972, “The Capital Asset Pricing Model: Some Empirical Tests,” in Jensen M. (ed.), Studies in the Theory of Capital Markets, Praeger, New York.

10.1016/0304-405X(83)90026-0

10.1016/0304-405X(87)90045-6

10.2307/1912276

10.1016/0304-405X(85)90008-X

10.1086/296344

10.1016/0304-405X(88)90062-1

David, 1973, Concomitants of Order Statistics, Bulletin of the International Statistical Institute, 45, 295

David H. A. , 1981, Order Statistics (2nd ed.), Wiley, New York.

10.2307/3212559

10.1086/260061

10.1016/0304-405X(82)90028-9

10.1016/0304-405X(85)90015-7

10.2307/1913625

10.2307/2328296

10.1214/ss/1177013012

10.1093/rfs/1.4.403

Leamer E. , 1978, Specification Searches, Wiley, New York.

10.1016/0304-405X(88)90061-X

10.1016/0304-405X(87)90044-4

Merton R. , 1987, “On the Current State of the Stock Market Rationality Hypothesis,” in Dornbusch R. Fischer S. Bossons J. (eds.), Macroeconomics and Finance: Essays in Honor of Franco Modigliani, M.I.T. Press, Cambridge, Mass.

10.2307/3213934

10.1214/aos/1176345997

Nagaraja, 1984, Some Nondegenerate Limit Laws for Sample Selection Differential and Selection Differential, Sankhyā, 46, 355

Ross S. , 1987, “Regression to the Max,” Working Paper, Yale School of Organization and Management.

10.1007/BF02613140

10.1214/aop/1176996097

10.1080/03610928108828143

10.1016/0304-405X(85)90002-9

10.1016/0304-405X(82)90001-0

Stuart A. Ord J. , 1987, Kendall’s Advanced Theory of Statistics, Oxford U.P., New York.

Wang T. , 1988, Essays on the Theory of Arbitrage Pricing, unpublished doctoral dissertation, Wharton School, University of Pennsylvania.

10.1214/aoms/1177706210

10.1214/aos/1176343954

10.1080/01621459.1981.10477700

10.1007/BF02480956