Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Article Abstract:

This article discusses the development and application of a new methodology that controls for data-snooping biases. This allows researchers to account for the dependencies which result from investigating several investments while computing investment performance based on statistical significance. This methodology further allows investors the opportunity to evaluate original investment strategies by assessing performance for data-snooping tampering.

Evaluation, Securities, Securities industry, Investors

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Optimal Investment, Growth Options, and Security Returns

Article Abstract:

Researchers have developed a theoretical model that explains the relationship between such variables as book-to-market, size, and past returns, and interpretable characteristics of the firms. This model is employed in an evaluation of expected stock return anomalies as they are effected by risks and risk premia.

Models, Financial markets

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Sorting out sorts

Article Abstract:

The traditional practice of sorting stocks into groups tends to introduce bias. If enough groups are chosen to sort into, the true asset pricing model has no explanatory power.

Pricing Policy, Stocks, Pricing

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