Is Stock Return Predictability Spurious?
Journal of Investment Management, 2003, 1(3), 1-10
Posted: 31 Mar 2004 Last revised: 27 Apr 2012
Date Written: April 26, 2012
Two problems, spurious regression bias and naive 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.
Keywords: Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management
JEL Classification: G00
Suggested Citation: Suggested Citation