Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US

DOI10.1016/J.JECONOM.2014.05.014MaRDI QIDQ473249zbMATH OpenOpenAlexFDO

Authors Alok Bhargava

Publication date 24 November 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.05.014

zbMATH Keywords

endogeneitymaximum likelihoodvalue investingmacroeconomic variablesCompustat and CRSP databasesdynamic random effects models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Consistent Estimates Based on Partially Consistent Observations
• Distribution of the Ratio of the Mean Square Successive Difference to the Variance
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Estimation of Dynamic Models with Error Components
• Models for Investors in Real World Markets
• Serial Correlation and the Fixed Effects Model
• Some Tests of Dynamic Specification for a Single Equation
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
• The General Theory of Employment, Interest, and Money
• Wald Tests and Systems of Stochastic Equations

Cited in

(2)

• On the market price of risk
• When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms

Describes a project that uses

Uses Software

• NAG

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