Predictable Stock Returns: The Role of Small Sample Bias
指出预测回归存在两种小样本偏差，导致标准推断可能错误地显示可预测性，并通过随机化残差估计偏差大小，强调实际推断中需考虑这些偏差。
ABSTRACT Predictive regressions are subject to two small sample biases: the coefficient estimate is biased if the predictor is endogenous, and asymptotic standard errors in the case of overlapping periods are biased downward. Both biases work in the direction of making t ‐ratios too large so that standard inference may indicate predictability even if none is present. Using annual returns since 1872 and monthly returns since 1927 we estimate empirical distributions by randomizing residuals in the VAR representation of the variables. The estimated biases are large enough to affect inference in practice, and should be accounted for when studying predictability.