Spurious regressions in financial economics?

• 成果类型: Article
• 署名作者: Ferson, WE; Sarkissian, S; Simin, TT
• 署名单位: Boston University; National Bureau of Economic Research; McGill University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00571
• 发表日期: 2003
• 页码: 1393-1413
• 关键词: BOOK-TO-MARKET; stock returns; Expected returns; dividend yields; time-series; predictability; prices; tests; expectations; consumption

摘要

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (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. Our simulations suggest that many of the regressions in the literature, based on individual predictor variables, may be spurious.