Search Results - subject:"Data snooping bias"

Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

Huang, Jing-Zhi; Huang, Zhijian - In: Quarterly Journal of Finance (QJF) 03 (2013) 03, pp. 1350016-1

subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider … after controlling for data-snooping bias. …

Persistent link: https://www.econbiz.de/10010778764

Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency

Shynkevich, Andrei - In: Journal of Economics and Business 69 (2013) C, pp. 64-85

snooping bias, trend chasing trading rules achieve superior predictability for a number of sectors and industries in the 1990s … continuation is predominantly an intra-industry rather than a market-wide or a single-company effect. After adjusting for data …

Persistent link: https://www.econbiz.de/10010703279

Time-series momentum as an intra- and inter-industry effect : implications for market efficiency

Shynkevich, Andrei - In: Journal of economics & business 69 (2013), pp. 64-85

Persistent link: https://www.econbiz.de/10010236660

Real-time profitability of published anomalies : an out-of-sample test

Huang, Jing-Zhi; Huang, Zhijian - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-33

Persistent link: https://www.econbiz.de/10010389084