Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation

S. David Young, Michael A. Berry, David W. Harvey and John R. Page

Journal of Financial and Quantitative Analysis, 1991, vol. 26, issue 4, 559-564

Abstract: This paper assesses the ability of financial statement variables to forecast sensitivities to systematic risk factors generated by a multifactor, macroeconomic forces model. Forecasts of beta derived from financial variables are shown to outperform naive, random walk forecasts, although Bayesian-adjusted betas perform as well as the financial variables model.

Date: 1991
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