IDEAS home Printed from https://ideas.repec.org/a/cai/finpug/fina_291_0007.html
   My bibliography  Save this article

Erreurs sur les variables et modèles d'évaluation des actifs financiers canadiens

Author

Listed:
  • Benoît Carmichael
  • Alain Coën
  • Jean-François L’Her

Abstract

This paper sheds a new light on Fama and French (1993) and Carhart (1997) multifactor models estimation focusing on the possibility of errors-in-variables. We use monthly data for the Canadian stock market from July 1960 to December 2004. Fama and French (1997) conclude that ?estimates of the cost of equity for the three-factor model of FF (1993)? are imprecise. Our results show that this imprecision is more severe in presence of measurement errors. We suggest to use Dagenais and Dagenais (1997) higher moments estimator to deal with this problem. This estimator has the advantages of being easy to compute and to require no extraneous information. We show that estimates of the cost of equity on the Canadian stock market obtained with Dagenais and Dagenais estimator sharply differ from biased OLS estimates. This approach revisits performance attribution and abnormal performance (?).

Suggested Citation

  • Benoît Carmichael & Alain Coën & Jean-François L’Her, 2008. "Erreurs sur les variables et modèles d'évaluation des actifs financiers canadiens," Finance, Presses universitaires de Grenoble, vol. 29(1), pages 7-29.
    • Handle: RePEc:cai:finpug:fina_291_0007
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_291_0007
    Download Restriction: free
    File URL: http://www.cairn.info/revue-finance-2008-1-page-7.htm
    Download Restriction: free
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:finpug:fina_291_0007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-finance.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.