Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: Journal of Financial Economics 114 (2014) 3, pp. 613-619
Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment׳s observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu, and Yuan (2012), who find higher...