The paper analyzes the relationship between stock prices and fundamentals for a large sample of US stocks in the last 10 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 nonfundamental stock price components across time and clearly identifies the growth of the nonfundamental component in the long 1991–2000 swing.
Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model / Becchetti, L; Rocci, R; Trovato, G. - In: ANNALS OF FINANCE. - ISSN 1614-2446. - 3:(2007), pp. 257-276.
Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model
ROCCI R;
2007
Abstract
The paper analyzes the relationship between stock prices and fundamentals for a large sample of US stocks in the last 10 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 nonfundamental stock price components across time and clearly identifies the growth of the nonfundamental component in the long 1991–2000 swing.| File | Dimensione | Formato | |
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