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

DOI10.1016/j.jeconom.2014.05.014zbMath1312.91074OpenAlexW2052885490MaRDI QIDQ473249

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)

Related Items (1)

On the market price of risk

Uses Software

• NAG

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Wald Tests and Systems of Stochastic Equations
• Advertising and Aggregate Consumption: An Analysis of Causality
• Some Tests of Dynamic Specification for a Single Equation
• Estimation of Dynamic Models with Error Components
• Serial Correlation and the Fixed Effects Model
• The General Theory of Employment, Interest, and Money
• Models for Investors in Real World Markets
• 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
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

This page was built for publication: Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US