Ferson is at the Carroll School of Management, Boston College and is a Research Associate, National Bureau of Economic Research; Sarkissian is on the Faculty of Management, McGill University; Simin is at the Smeal College of Business, Pennsylvania State University. We are grateful to Eugene Fama for suggesting the question that motivates this research and to John Cochrane, Frank Diebold, Richard C. Green, Gordon Hanka, Raymond Kan, Donald Keim, Jeffrey Pontiff, Bill Schwert, Rossen Valkanov, and an anonymous referee for helpful comments. Ferson acknowledges financial support from the Pigott-Paccar professorship at the University of Washington and the Collins Chair in Finance at Boston College. Sarkissian acknowledges financial support from FCAR and IFM2. This paper has benefited from workshops at McGill University, at the July 2000 NBER Asset Pricing Group, the 2000 Northern Finance Association Meetings, and the 2001 American Finance Association Meetings.
Spurious Regressions in Financial Economics?
Version of Record online: 15 JUL 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 4, pages 1393–1413, August 2003
How to Cite
Ferson, W. E., Sarkissian, S. and Simin, T. T. (2003), Spurious Regressions in Financial Economics?. The Journal of Finance, 58: 1393–1413. doi: 10.1111/1540-6261.00571
- Issue online: 15 JUL 2003
- Version of Record online: 15 JUL 2003
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