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0 comments / 02/02/2015 /

IS STOCK RETURN PREDICTABILITY SPURIOUS?

Wayne E. Ferson, Sergei Sarkissian, and Timothy Simin

Two problems, spurious regression bias and naïve data mining, conspire to mislead analysts about predictive models for stock returns. This article demonstrates the two problems, how they interact, and makes suggestions for what to do about it.

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