{"id":"W2136447435","doi":"10.1017/s0022109000003549","title":"Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression","year":2008,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":52,"is_retracted":false,"has_abstract":true,"ca_institutions":"McGill University","funders":"","keywords":"Spurious relationship; Econometrics; Capital asset pricing model; Regression; Regression analysis; Economics; Statistics; Mathematics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.04320449,0.0006079085,0.001218103,0.0009674642,0.0005782667,0.002172668,0.001564827,0.001050768,0.0008402393],"category_scores_gemma":[0.2590166,0.0006828203,0.0008470269,0.002215945,0.002318206,0.002720208,0.001685482,0.003120656,0.0002102384],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009251186,"about_ca_system_score_gemma":0.0009539648,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.007563155,"about_ca_topic_score_gemma":0.004572727,"domain_scores_codex":[0.9823423,0.01258127,0.0009471377,0.001644515,0.001915426,0.0005693225],"domain_scores_gemma":[0.5729429,0.3404773,0.03753129,0.03710053,0.0106576,0.001290372],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.001001182,0.0002524795,0.4146659,0.0003211235,0.001433612,0.001472036,0.0008450968,0.4334369,0.002089948,0.0528104,0.004968136,0.0867032],"study_design_scores_gemma":[0.00006164324,0.0001127015,0.04274779,0.0001314184,0.0003084153,0.0004342282,0.0001941194,0.8754057,0.003018594,0.07596169,0.001559021,0.00006468386],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5800266,0.00227431,0.4111478,0.002218551,0.0001634899,0.00005835876,0.0004277753,0.001037095,0.002645939],"genre_scores_gemma":[0.9853511,0.0002436716,0.01344751,0.0002050614,0.00009425347,0.00001727162,0.0001930543,0.00007101502,0.0003771988],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.04320449,"threshold_uncertainty_score":0.2284899,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06951385231666223,"score_gpt":0.2733289161989468,"score_spread":0.2038150638822845,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}