Is Stock Return Predictability Spurious?

Journal of Investment Management, 2003, 1(3), 1-10

Posted: 31 Mar 2004 Last revised: 27 Apr 2012

See all articles by Wayne E. Ferson

Wayne E. Ferson

University of Southern California; National Bureau of Economic Research (NBER)

Sergei Sarkissian

McGill University; University of Edinburgh

Timothy T. Simin

Pennsylvania State University

Date Written: April 26, 2012

Abstract

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

Ferson, Wayne E. and Sarkissian, Sergei and Simin, Timothy T., Is Stock Return Predictability Spurious? (April 26, 2012). Journal of Investment Management, 2003, 1(3), 1-10. Available at SSRN: https://ssrn.com/abstract=496122

Wayne E. Ferson (Contact Author)

University of Southern California ( email )

2250 Alcazar Street
Los Angeles, CA 90089
United States

HOME PAGE: http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sergei Sarkissian

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada
514-398-4876 (Phone)
514-398-3876 (Fax)

HOME PAGE: http://sergei-sarkissian.com

University of Edinburgh

29 Buccleuch Pl.
Edinburgh, Scotland EH8 9JS
United Kingdom

Timothy T. Simin

Pennsylvania State University ( email )

University Park, PA 16802
United States
814-865-3457 (Phone)

HOME PAGE: http://timsimin.net

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