Capital asset pricing models revisited:: Evidence from errors in variables

被引：9
|
作者：
Coen, Alain [1 ]
Racicot, Francois-Eric
机构：
[1] Univ Quebec, Montreal, PQ H3C 4R2, Canada
[2] Univ Quebec, Hull, PQ J8X 3X7, Canada
来源：
ECONOMICS LETTERS | 2007年 / 95卷 / 03期
关键词：
errors in the variables; measurement errors; higher moments; instrumental variables; asset pricing models;
D O I：
10.1016/j.econlet.2006.11.021
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper revisits an instrumental variable technique to minimize the errors-in-variables problem in capital asset pricing models. Our results show that Dagenais and Dagenais [Dagenais, M.G., Dagenais, D.L., 1997. Higher moment estimators for linear regression models with errors in the variables. Journal of Econometrics 76, 193-221] estimator, based on higher moments, is well suited to correct for the bias induced by measurement errors in both the CAPM and the three-factor model of Fama and French [Fama, E.F., French, K.R., 1997. Industry costs of equity. Journal of Financial Economics 43, 153-193]. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：443 / 450
页数：8
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