Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model

Leonardo Becchetti, Roberto Rocci and Giovanni Trovato ()

CEIS Research Paper from Tor Vergata University, CEIS

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.

Keywords: Fundamental/Price Relationship; Finite Mixture Models; EM algorithm; Panel Data (search for similar items in EconPapers)
JEL-codes: C14 C23 G12 (search for similar items in EconPapers)
Pages: 25
Date: 2004-04-08
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/No-52-Becchetti-Rocci-Trovato.pdf (application/pdf)

Related works:
Journal Article: Industry and time specific deviations from fundamental values in a random coefficient model (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:52

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().