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

页码：443 / 450

页数：8

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