Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - In: Journal of Finance 58 (2003) 4, pp. 1393-1414
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 <link rid="b49">Yule (1926)</link> and <link rid="b21">Granger and Newbold (1974)</link>. Data mining for predictor variables interacts with spurious regression bias. The...