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

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Author Info
Francois-Éric Racicot () (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)
Raymond Théoret () (Département de stratégie des affaires, Université du Québec (Montréal))
Alain Coen () (Département de stratégie des affaires, Université du Québec (Montréal))

Additional information is available for the following registered author(s):

Abstract

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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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/fr200603.pdf
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Publisher Info
Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp132006.

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Length: 46 pages
Date of creation: 01 Mar 2006
Date of revision:
Handle: RePEc:pqs:wpaper:132006

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Related research
Keywords: Asset pricing portfolio selection errors in variables measurement errors higher moments instrumental variables Specification test corporate governance protection of investors.

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Investment Policy

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO. [Downloadable!]
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