search query: @indexterm CLASSICAL ECONOMICS / total: 5
reference: 2 / 5
| Author: | Ferson, W. E. Sarkissian, S. Simin, T. T. |
| Title: | Spurious regressions in financial economics? |
| Journal: | Journal of Finance
2003 : AUG, VOL. 58:4, p. 1393-1413 |
| Index terms: | Classical economics Stock returns Regression analysis |
| Language: | eng |
| Abstract: | Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regression for stock returns related to the classic studies of Yale (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. The simulations suggest that many of the regressions in the literature, based on individual predictor may be spurious. |
SCIMA