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- W99683792 abstract "The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences about the predictability in international equity market returns. The analysis considers how the biases work in the presence of data mining for the predictive variables. I find that the two biases can reinforce or offset each other, depending on the parameters of the model. I present a new correction for the bias in the presence of both effects and evaluate its economic significance. Adjusting for data mining associated with both effects, I find that many of the global predictors have a weak explanatory power when they are individually regressed against the world market returns. Using global and local predictors, we cannot reject the null hypothesis that the predictability is an outcome of data mining for 10 of the 18 national equity market returns once we account for the apparent number of searches." @default.
- W99683792 created "2016-06-24" @default.
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- W99683792 date "2009-01-01" @default.
- W99683792 modified "2023-10-16" @default.
- W99683792 title "Are International Equity Market Returns Predictable?" @default.
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- W99683792 doi "https://doi.org/10.2139/ssrn.1495872" @default.
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