POWELL, JOHN; SHI, JING; SMITH, TOM; WHALEY, ROBERT - In: International Review of Finance 9 (2009) 4, pp. 335-357
In the finance and accounting literature, the use of a common divisor in the dependent and independent variables of ordinary least-squares regressions is commonplace. What goes less recognized, however, is that their use induces spurious correlation between the regression variables and...