Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors

In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting models of measurement errors. Removing measurement errors is important at many levels as information disclosure, corporate governance and protection of investors.

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Year of publication:	2006-03-01
Authors:	Racicot, Francois-Éric ; Théoret, Raymond ; Coen, Alain
Institutions:	Départment des sciences administratives, Université du Québec en Outaouais (UQO)
Subject:	Asset pricing \| portfolio selection \| errors in variables \| measurement errors \| higher moments \| instrumental variables \| Specification test \| corporate governance \| protection of investors

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Extent:	application/pdf
Series:	RePAd Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number UQO-DSA-wp132006 46 pages
Classification:	C13 - Estimation ; C19 - Econometric and Statistical Methods: General. Other ; C49 - Econometric and Statistical Methods: Special Topics. Other ; G12 - Asset Pricing ; G31 - Capital Budgeting; Investment Policy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005828371