Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation
检验了财务报表变量预测系统性风险因子敏感性的能力，发现基于财务变量的贝塔预测优于朴素随机游走预测，但贝叶斯调整后的贝塔表现与财务变量模型相当。
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.