The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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INFLATION AND RATES OF RETURN ON COMMON STOCKS
Published: 05/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01900.x
Charles R. Nelson
INFLATION AND CAPITAL BUDGETING
Published: 06/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01934.x
Charles R. Nelson
Predictable Stock Returns: The Role of Small Sample Bias
Published: 06/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04731.x
CHARLES R. NELSON, MYUNG J. KIM
Predictive regressions are subject to two small sample biases: the coefficient estimate is biased if the predictor is endogenous, and asymptotic standard errors in the case of overlapping periods are biased downward. Both biases work in the direction of making t‐ratios too large so that standard inference may indicate predictability even if none is present. Using annual returns since 1872 and monthly returns since 1927 we estimate empirical distributions by randomizing residuals in the VAR representation of the variables. The estimated biases are large enough to affect inference in practice, and should be accounted for when studying predictability.