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
2007-01-01
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 swingI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
