期刊
JOURNAL OF FINANCE
卷 55, 期 1, 页码 407-427出版社
BLACKWELL PUBLISHERS
DOI: 10.1111/0022-1082.00210
关键词
-
In this paper we analyze the theoretical implications of sorting data into groups and then running asset pricing tests within each group. We show that the way this procedure is implemented introduces a bias in favor of rejecting the model under consideration. By simply picking enough groups to sort into, the true asset pricing model can be shown to have no explanatory power within each group.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据