How should we estimate value-relevance models? Insights from European data
We study the consequences of unobserved heterogeneity when employing different econometric methods in the estimation of two major value-relevance models: the Price Regression Model (PRM) and the Return Regression Model (RRM). Leveraging a large panel data set of European listed companies, we first d...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/52467/ |