Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation

This paper assesses the ability of financial statement variables to forecast sensitivities to systematic risk factors generated by a multifactor, macroeconomic forces model. Forecasts of beta derived from financial variables are shown to outperform naive, random walk forecasts, although Bayesian-adjusted betas perform as well as the financial variables model.

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Year of publication:	1991
Authors:	Young, S. David ; Berry, Michael A. ; Harvey, David W. ; Page, John R.
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 26.1991, 04, p. 559-564
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005139076