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Industry and time specific deviations from fundamental values in a random coefficient model

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Author Info

  • Leonardo Becchetti
  • Roberto Rocci
  • Giovanni Trovato

    ()

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.

(This abstract was borrowed from another version of this item.)

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File URL: http://hdl.handle.net/10.1007/s10436-006-0047-x
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 3 (2007)
Issue (Month): 2 (March)
Pages: 257-276

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Handle: RePEc:kap:annfin:v:3:y:2007:i:2:p:257-276

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Fundamental/price relationship; Finite mixture models; EM algorithm; Panel data; C140; C230; G120;

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References

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Cited by:
  1. Leonardo Becchetti & Giovanni Trovato, 2011. "Corporate social responsibility and firm efficiency: a latent class stochastic frontier analysis," Journal of Productivity Analysis, Springer, vol. 36(3), pages 231-246, December.

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