TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Sarkissian,Sergei
AU  - Simin,Timothy
TI  - Spurious Regressions in Financial Economics?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9143
PY  - 2002
Y2  - September 2002
UR  - http://www.nber.org/papers/w9143
L1  - http://www.nber.org/papers/w9143.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu

Sergei Sarkissian
Faculty of Management
1001 Sherbrooke St. West
McGill University
Montreal, Quebec
Canada
H3A 1G5
E-Mail: sergei.sarkissian@mcgill.ca

Timothy Simin
Department of Finance
Pennsylvania State University
University Park, PA  16802
E-Mail: tsimin@psu.edu
AB  - 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
ER  -