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- W3123465331 abstract "Ferson, Sarkissian and Simin (2003) warn that persistence in expected returns generates spurious regression bias in predictive regressions of stock returns, even though stock returns are themselves only weakly autocorrelated. Despite this fact a growing literature attempts to explain the performance of stock market anomalies with highly persistent investor sentiment. The data suggest, however, that the potential misspecification bias may be large. Predictive regressions of real returns on simulated regressors are too likely to reject the null of independence, and it is far too easy to find real variables that have “significant power” predicting returns. Standard OLS predictive regressions find that the party of the U.S. President, cold weather in Manhattan, global" @default.
- W3123465331 created "2021-02-01" @default.
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- W3123465331 date "2012-05-01" @default.
- W3123465331 modified "2023-09-27" @default.
- W3123465331 title "Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars" @default.
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- W3123465331 doi "https://doi.org/10.3386/w18063" @default.
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