Construct · 1 fields · 1 citations

data-snooping bias: a standalone construct

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Financial economics

bias in tests of asset pricing models when portfolios or variables are chosen using patterns already found in the same or related data.

In financial economics, data-snooping bias refers to bias in tests of asset pricing models when portfolios or variables are chosen using patterns already found in the same or related data. This meaning comes from Lo (1990) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs bias6 fields · 8 citationsjingle · one name, six constructs

References

Lo, A. W., & MacKinlay, A. C. (1990). Data-Snooping Biases in Tests of Financial Asset Pricing Models. Review of Financial Studies, 3(3), 431-467. https://doi.org/10.1093/rfs/3.3.431

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