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On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns

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Author Info
François-Éric Racicot ()
Raymond Théoret ()

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File URL: http://hdl.handle.net/10.1007/s11294-008-9179-2
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Publisher Info
Article provided by Springer in its journal International Advances in Economic Research.

Volume (Year): 15 (2009)
Issue (Month): 1 (February)
Pages: 30-43
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Handle: RePEc:kap:iaecre:v:15:y:2009:i:1:p:30-43

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Web page: http://www.springerlink.com/link.asp?id=112112

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Related research
Keywords: Hedge funds returns; Alpha of Jensen; Financial models; Cumulants; Higher moments; Specification errors; Aggregation bias; C10; G10; G20;

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  1. Howard W. Chan & Robert W. Faff, 2005. "Asset Pricing and the Illiquidity Premium," The Financial Review, Eastern Finance Association, vol. 40(4), pages 429-458, November. [Downloadable!] (restricted)
  2. Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 205-216, June. [Downloadable!]
  3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  4. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06. [Downloadable!] (restricted)
  5. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September. [Downloadable!] (restricted)
  6. Dagenais, Marcel G. & Dagenais, Denyse L., 1997. "Higher moment estimators for linear regression models with errors in the variables," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 193-221. [Downloadable!] (restricted)
  7. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 111-42.
    Other versions:
  8. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  9. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February. [Downloadable!] (restricted)
  10. Pal, Manoranjan, 1980. "Consistent moment estimators of regression coefficients in the presence of errors in variables," Journal of Econometrics, Elsevier, vol. 14(3), pages 349-364, December. [Downloadable!] (restricted)
  11. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June. [Downloadable!] (restricted)
  12. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March. [Downloadable!] (restricted)
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