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
相关论文
共 50 条
  • [21] Specification tests of asset pricing models using excess returns
    Kan, Raymond
    Robotti, Cesare
    JOURNAL OF EMPIRICAL FINANCE, 2008, 15 (05) : 816 - 838
  • [22] Further tests of asset pricing models: Liquidity risk matters
    Ma, Xiuli
    Zhang, Xindong
    Liu, Weimin
    ECONOMIC MODELLING, 2021, 95 : 255 - 273
  • [23] Chi-squared tests for evaluation and comparison of asset pricing models
    Gospodinov, Nikolay
    Kan, Raymond
    Robotti, Cesare
    JOURNAL OF ECONOMETRICS, 2013, 173 (01) : 108 - 125
  • [24] Spurious Inference in Reduced-Rank Asset-Pricing Models
    Gospodinov, Nikolay
    Kan, Raymond
    Robotti, Cesare
    ECONOMETRICA, 2017, 85 (05) : 1613 - 1628
  • [25] The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations
    Hung-Wen Lin
    Jing-Bo Huang
    Kun-Ben Lin
    Shu-Heng Chen
    Journal of Economic Interaction and Coordination, 2022, 17 : 577 - 612
  • [26] The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations
    Lin, Hung-Wen
    Huang, Jing-Bo
    Lin, Kun-Ben
    Chen, Shu-Heng
    JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, 2022, 17 (02) : 577 - 612
  • [27] A Bayesian estimator for stochastic frontier models with errors in variables
    Chang, Sheng-Kai
    Chen, Yi-Yi
    Wang, Hung-Jen
    JOURNAL OF PRODUCTIVITY ANALYSIS, 2012, 38 (01) : 1 - 9
  • [28] A semiparametric estimation of nonlinear errors-in-variables models
    Wang, LQ
    Hsiao, C
    AMERICAN STATISTICAL ASSOCIATION - 1996 PROCEEDINGS OF THE BUSINESS AND ECONOMIC STATISTICS SECTION, 1996, : 231 - 236
  • [29] Estimation of censored linear errors-in-variables models
    Wang, LQ
    JOURNAL OF ECONOMETRICS, 1998, 84 (02) : 383 - 400
  • [30] A Bayesian estimator for stochastic frontier models with errors in variables
    Sheng-Kai Chang
    Yi-Yi Chen
    Hung-Jen Wang
    Journal of Productivity Analysis, 2012, 38 : 1 - 9
12345