Spurious Regressions in Financial Economics?
指出，即使股票收益自相关不高，预测回归中仍存在伪回归偏差，且数据挖掘会放大这一效应，模拟表明许多基于单个预测变量的回归可能是伪回归。
ABSTRACT Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974) . Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. Our simulations suggest that many of the regressions in the literature, based on individual predictor variables, may be spurious.