Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars
收藏NBER2012-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w18063
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2012-05-01
