Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
研究条件阿尔法和条件贝塔的资产定价模型回归估计，发现数据窥探和伪回归对条件贝塔影响较小，但条件阿尔法估计有偏，且忽略时变阿尔法会导致贝塔估计偏误，以往研究高估了时变阿尔法的显著性。
Abstract 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 biased. Previous studies overstate the significance of time-varying alphas.