TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Sarkissian,Sergei
AU  - Simin,Timothy
TI  - Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12658
PY  - 2006
Y2  - October 2006
UR  - http://www.nber.org/papers/w12658
L1  - http://www.nber.org/papers/w12658.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu

Sergei Sarkissian
Faculty of Management
1001 Sherbrooke St. West
McGill University
Montreal, Quebec
Canada
H3A 1G5
E-Mail: sergei.sarkissian@mcgill.ca

Timothy Simin
Department of Finance
Pennsylvania State University
University Park, PA  16802
E-Mail: tsimin@psu.edu
AB  - This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression.  We find that the regressions are reasonably well specified for conditional betas, even in settings where simple predictive regressions are severely biased.   However, there are biases in estimates of the conditional alphas.  When time-varying alphas are suppressed and only time-varying betas are considered, the betas become baised.  Previous studies overstate the significance of time-varying alphas.
ER  -