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8. Data-Snooping Biases in Tests of Financial Asset Pricing Models

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. List of Figures xiii
  4. List of Tables xv
  5. Preface xxi
  6. 1. Introduction 1
  7. Part I.
  8. Introduction 13
  9. 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 17
  10. 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 47
  11. 4. An Econometric Analysis of Nonsynchronous Trading 85
  12. 5. When Are Contrarian Profits Due to Stock Market Overreaction 115
  13. 6. Long-Term Memory in Stock Market Prices 147
  14. Part II.
  15. Introduction 185
  16. 7. Multifactor Models Do Not Explain Deviations from the CAPM 189
  17. 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models 213
  18. 9. Maximizing Predictability in the Stock and Bond Market 249
  19. Part III.
  20. Introduction 285
  21. 10. An Ordered Probit Analysis of Transaction Stock Prices 287
  22. 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 347
  23. 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 369
  24. References 395
  25. Index 417
A Non-Random Walk Down Wall Street
This chapter is in the book A Non-Random Walk Down Wall Street
https://doi.org/10.1515/9781400829095.213

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. List of Figures xiii
  4. List of Tables xv
  5. Preface xxi
  6. 1. Introduction 1
  7. Part I.
  8. Introduction 13
  9. 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 17
  10. 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 47
  11. 4. An Econometric Analysis of Nonsynchronous Trading 85
  12. 5. When Are Contrarian Profits Due to Stock Market Overreaction 115
  13. 6. Long-Term Memory in Stock Market Prices 147
  14. Part II.
  15. Introduction 185
  16. 7. Multifactor Models Do Not Explain Deviations from the CAPM 189
  17. 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models 213
  18. 9. Maximizing Predictability in the Stock and Bond Market 249
  19. Part III.
  20. Introduction 285
  21. 10. An Ordered Probit Analysis of Transaction Stock Prices 287
  22. 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 347
  23. 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 369
  24. References 395
  25. Index 417
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