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Journal Article Data-Snooping Biases in Tests of Financial Asset Pricing Models Get access Andrew W. Lo, Andrew W. Lo Sloan School of Management, Massachusetts Institute of Technology Search for other works by this author on: Oxford Academic Google Scholar A. Craig MacKinlay A. Craig MacKinlay Wharton School, University of Pennsylvania Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 3, Issue 3, July 1990, Pages 431–467, https://doi.org/10.1093/rfs/3.3.431 Published: 30 April 2015
Lo et al. (Sun,) studied this question.