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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w9143 |
来源ID | Working Paper 9143 |
Spurious Regressions in Financial Economics? | |
Wayne E. Ferson; Sergei Sarkissian; Timothy Simin | |
发表日期 | 2002-09-01 |
出版年 | 2002 |
语种 | 英语 |
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 |
主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w9143 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566756 |
推荐引用方式 GB/T 7714 | Wayne E. Ferson,Sergei Sarkissian,Timothy Simin. Spurious Regressions in Financial Economics?. 2002. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w9143.pdf(200KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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