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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

    ()
    (University of Rome II - Faculty of Economics)

  • Roberto Rocci

    ()
    (University of Rome II - Faculty of Economics)

  • Giovanni Trovato

    ()
    (University of Rome II - Faculty of Economics)

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.

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File URL: ftp://www.ceistorvergata.it/repec/rpaper/No-52-Becchetti-Rocci-Trovato.pdf
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Bibliographic Info

Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 52.

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Length: 25
Date of creation: 08 Apr 2004
Date of revision:
Handle: RePEc:rtv:ceisrp:52

Contact details of provider:
Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
Phone: +390672595601
Fax: +39062020687
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Web page: http://www.ceistorvergata.it
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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
Email:
Web: http://www.ceistorvergata.it

Related research

Keywords: Fundamental/Price Relationship; Finite Mixture Models; EM algorithm; Panel Data;

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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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