Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model

The paper analyzes the relationship between stock prices and fundamentals for a large sample of US stocks in the last ten 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 non fundamental stock price components across time.

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Year of publication:	2004-04-08
Authors:	Becchetti, Leonardo ; Rocci, Roberto ; Trovato, Giovanni
Institutions:	Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
Subject:	Fundamental/Price Relationship \| Finite Mixture Models \| EM algorithm \| Panel Data

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Extent:	application/pdf
Series:	CEIS Research Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	2 pages long
Classification:	C14 - Semiparametric and Nonparametric Methods ; C23 - Models with Panel Data ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450618