Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation
- 1 December 1991
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 26 (4) , 559
- https://doi.org/10.2307/2331412
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.Keywords
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