Spurious Regressions in Financial Economics ?  

Oleh:

Simin, Timothy T. ; Sarkissian, Sergei ; Ferson, Wayne E.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 4 (2003), page 1393-1414.
Topik: FINANCIAL; rates of return; stock prices; securities markets; regression analysis; mathematical models; studies
Fulltext: p 1393.pdf (183.7KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock return related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The tow 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.

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