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

Author

Listed:
  • 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))

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.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
  • Handle: RePEc:pqs:wpaper:132006
    as

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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/fr200603.pdf
    File Function: First version, 2006
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    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.

    More about this item

    Keywords

    Asset pricing; portfolio selection; errors in variables; measurement errors; higher moments; instrumental variables; Specification test; corporate governance; protection of investors.;

    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

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