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]
Authors:	Becchetti, Leonardo
Other Persons:	Rocci, Roberto (contributor) ; Trovato, Giovanni (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2004 erstellt
Other identifiers:	10.2139/ssrn.528002 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C23 - Models with Panel Data ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012738366