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dc.contributor.authorConrad, Jenniferen_NZ
dc.contributor.authorCooper, Michaelen_NZ
dc.contributor.authorKaul, Gautamen_NZ
dc.date.available2011-04-07T03:19:01Z
dc.date.copyright2003-03-07en_NZ
dc.identifier.citationConrad, J., Cooper, M., & Kaul, G. (2003, March 7). Value versus glamour. University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Finance department, Seminar.en
dc.identifier.urihttp://hdl.handle.net/10523/1528
dc.description.abstractThe fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity returns. We examine the propensity of these strategies to generate statistically and economically significant profits due to our familiarity with the data. Under plausible assumptions, data-snooping can account for up to 50 percent of the in-sample relations between firm characteristics and returns uncovered using single (one-way) sorts. The biases can be much larger if we simultaneously condition returns on two (or more) characteristics.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_03.htmlen_NZ
dc.subjectCAPMen_NZ
dc.subjecttrading strategiesen_NZ
dc.subjectequity returnsen_NZ
dc.subjectprofitsen_NZ
dc.subjectdata-snoopingen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.titleValue versus glamouren_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages58en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints604en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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otago.event.dates7 March 2003en_NZ
otago.event.placeCommerce 207, University of Otago, Dunedin, Otagoen_NZ
otago.event.typeotheren_NZ
otago.event.titleUniversity of Otago, Finance department, Seminaren_NZ
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