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Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation

Published online by Cambridge University Press:  06 April 2009

S. David Young ,
Michael A. Berry ,
David W. Harvey  and
John R. Page
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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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 26 , Issue 4 , December 1991 , pp. 559 - 564
Copyright
Copyright © School of Business Administration, University of Washington 1991

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