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))
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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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Publisher Info
Paper 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: Handle: RePEc:pqs:wpaper:132006
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