Understanding spurious regression in financial economics

Journal of Financial Econometrics

Volumn 12, Issue 1, 2013, Pages 122-150

  Deng, Ai ^a  

^a Bates White LLC   (United States)

Author keywords

Data mining; Fixed b asymptotics; Signal to noise ratio; Spurious regression; Stock return predictability

Indexed keywords

EID: 84890356891     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbs025     Document Type: Article

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