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

Journal of Financial and Quantitative Analysis 1991 26(4), 559
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.