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

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  • Sullivan, Ryan
  • Timmermann, Allan
  • White, Halbert

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  • Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  • Handle: RePEc:eee:econom:v:105:y:2001:i:1:p:249-286
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