Young, S. David; Berry, Michael A.; Harvey, David W.; … - In: Journal of Financial and Quantitative Analysis 26 (1991) 04, pp. 559-564
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...