Musnad Ahmad 30:2502

Yahya narrated to us, from Ibn Abi Dhi'b, who said: Sa'id ibn Abi Sa'id narrated to me, from his father, from Abu Hurayrah, from the Prophet, peace and blessings of Allah be upon him, who said: "It is not lawful for a woman who believes in Allah and the Last Day to travel for a day, except with a Mahram."