Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors
AbstractIn 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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Bibliographic InfoPaper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp132006.
Length: 46 pages
Date of creation: 01 Mar 2006
Date of revision:
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Asset pricing; portfolio selection; errors in variables; measurement errors; higher moments; instrumental variables; Specification test; corporate governance; protection of investors.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
This paper has been announced in the following NEP Reports:
- NEP-ACC-2006-06-24 (Accounting & Auditing)
- NEP-ALL-2006-06-24 (All new papers)
- NEP-CFN-2006-06-24 (Corporate Finance)
- NEP-ECM-2006-06-24 (Econometrics)
- NEP-FIN-2006-06-24 (Finance)
- NEP-FMK-2006-06-24 (Financial Markets)
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