{"title":"随机系数模型中行业和时间对基本值的特定偏差","authors":"L. Becchetti, R. Rocci, G. Trovato","doi":"10.2139/ssrn.528002","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model\",\"authors\":\"L. Becchetti, R. Rocci, G. Trovato\",\"doi\":\"10.2139/ssrn.528002\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":416571,\"journal\":{\"name\":\"CEIS: Centre for Economic & International Studies Working Paper Series\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2004-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"CEIS: Centre for Economic & International Studies Working Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.528002\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"CEIS: Centre for Economic & International Studies Working Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.528002","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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