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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)

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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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Publisher 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

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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
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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
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Web: http://www.ceistorvergata.it

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

Other versions of this item:

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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