Dangers of data mining: The case of calendar effects in stock returns

Author:

Sullivan Ryan,Timmermann Allan,White Halbert

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference53 articles.

1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

2. A monthly effect in stock returns;Ariel;Journal of Financial Economics,1987

3. Daily seasonals in equity and fixed-interest returns: Australian evidence and tests of plausible hypotheses.;Ball,1988

4. Simple technical trading rules and the stochastic properties of stock returns;Brock;Journal of Finance,1992

5. The Econometrics of Financial Markets.;Campbell,1997

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