Journal of Financial and Quantitative Analysis Vol. 26 No. 4 1991
Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation
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.
- DOI
- 10.2307/2331412
- Volume
- 26
- Issue
- 4
- Pages
- 559
- Sources
- crossref openalex