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

  • Leonardo Becchetti
  • Roberto Rocci
  • Giovanni Trovato

    ()

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: http://hdl.handle.net/10.1007/s10436-006-0047-x
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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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