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Stock returns are not highly autocorrelated, but there exists a spurious regression bias in predictive regressions for stock returns similar to the classic studies of Yule (Journal of the Royal Statistical Society 89, 1–64, 1926) and Granger and Newbold (Journal of Econometrics 4, 111–120, 1974). Data mining for predictor variables reinforces spurious regression bias because more highly persistent...
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