Date of Award
12-2020
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Chad Albrecht
Committee
Todd Griffith
Abstract
When different models are tested on one data sample and repeatedly altered in order to be found significant, the results are likely spurious. This is data-snooping – an ever-growing problem in the finance industry likely due to fierce competition and developments in data processing capacity. In academia, although recognized as a deplorable practice, data-snooping is likewise pervasive perhaps as a result of poor incentive structures at both the university and publisher levels. I manifest the problem of data-snooping through multiple academic and industry examples and then summarize Halbert White and Peter Hansen’s offered solutions, White’s Reality Check and Hansen’s Test for Superior Predictive Ability. I demonstrate the application of their tests by examining several passive investment strategies applicable to recent market moves and report my results.
Recommended Citation
Baldwin, Jack K., "Testing Investment Strategies for Superior Predictive Ability" (2020). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 1506.
https://digitalcommons.usu.edu/gradreports/1506
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