Cross-Section Regression Models of the Long-Run Relationship Between Market and Accounting Values - The Case for a Log-Linear Model

Basic annual cross sections of market on accounting values are estimated in levels and returns using a 30 US firm by 50 year panel of data. Log transformations of the levels data are shown to produce an improved statistical specification. Deflated returns models are shown to suffer from other problems of inference. The nature of the implicit assumption in cross section analysis that firm's in the sample have a common data generating processes is discussed

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Year of publication:	2009
Authors:	Willett, Roger J. ; Falta, Michael
Publisher:	[S.l.] : SSRN

Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 21, 2008 erstellt
Other identifiers:	10.2139/ssrn.1164644 [DOI]
Classification:	C21 - Cross-Sectional Models; Spatial Models ; C22 - Time-Series Models ; C23 - Models with Panel Data ; D40 - Market Structure and Pricing. General ; D49 - Market Structure and Pricing. Other ; G12 - Asset Pricing ; M41 - Accounting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014216403