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Asset pricing models with conditional betas and alphas : the effects of data snooping and spurious regression
Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 331-354
Persistent link: https://www.econbiz.de/10003729126
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Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 331-354
Persistent link: https://www.econbiz.de/10008065791
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Mimicking portfolios with conditioning information
Ferson, Wayne E.; Siegel, Andrew F.; Xu, Pisun - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 3, pp. 607-636
Persistent link: https://www.econbiz.de/10003374650
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The poor predictive performance of asset pricing models
Simin, Timothy T. - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 355-380
Persistent link: https://www.econbiz.de/10003729127
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The Poor Predictive Performance of Asset Pricing Models
Simin, Timothy - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 355-380
Persistent link: https://www.econbiz.de/10008065790
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Treasury bond illiquidity and global equity returns
Goyenko, Ruslan; Sarkissian, Sergei - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1227-1253
Persistent link: https://www.econbiz.de/10011338941
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To group or not to group? : evidence from mutual fund databases
Patel, Saurin; Sarkissian, Sergei - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 1989-2021
Persistent link: https://www.econbiz.de/10011928982
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Cross-listing waves
Sarkissian, Sergei; Schill, Michael J. - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 1, pp. 259-306
Persistent link: https://www.econbiz.de/10011577575
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Global liquidity provision and risk sharing
Jiao, Feng; Sarkissian, Sergei - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1844-1876
Persistent link: https://www.econbiz.de/10012618495
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Mimicking Portfolios with Conditioning Information
Ferson, Wayne; Siegel, Andrew F.; Xu, Pisun - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 3, pp. 607-636
Persistent link: https://www.econbiz.de/10007292922