The paper analyzes the relationship between stock prices and fundamentals for a large sample of US stocks in the last 10 years using a random coefficient model. Heterogeneity and omitted variable bias are properly taken into account with model coefficients being allowed to vary across time and industries. The random coefficient model allows to track waves of reliance on analysts' forecasts and nonfundamental stock price components across time and clearly identifies the growth of the nonfundamental component in the long 1991-2000 swing

Becchetti, L., Trovato, G., & Rocci, R. (2007). Industry and time specific deviations from fundamental values in a random coefficient model. ANNALS OF FINANCE, 3(2), 257-276 [10.1007/s10436-006-0047-x].

Industry and time specific deviations from fundamental values in a random coefficient model

BECCHETTI, LEONARDO;TROVATO, GIOVANNI;ROCCI, ROBERTO
2007

Abstract

The paper analyzes the relationship between stock prices and fundamentals for a large sample of US stocks in the last 10 years using a random coefficient model. Heterogeneity and omitted variable bias are properly taken into account with model coefficients being allowed to vary across time and industries. The random coefficient model allows to track waves of reliance on analysts' forecasts and nonfundamental stock price components across time and clearly identifies the growth of the nonfundamental component in the long 1991-2000 swing
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore SECS-P/01 - Economia Politica
eng
EM algorithm; finite mixture models; fundamental/price relationship; panel data
Becchetti, L., Trovato, G., & Rocci, R. (2007). Industry and time specific deviations from fundamental values in a random coefficient model. ANNALS OF FINANCE, 3(2), 257-276 [10.1007/s10436-006-0047-x].
Becchetti, L; Trovato, G; Rocci, R
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/43351
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