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.

This publication has 0 references indexed in Scilit: