Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062514 | Economics Letters | 2007 | 8 Pages |
Abstract
This paper revisits an instrumental variable technique to minimize the errors-in-variables problem in capital asset pricing models. Our results show that Dagenais and Dagenais [Dagenais, M.G., Dagenais, D.L., 1997. Higher moment estimators for linear regression models with errors in the variables. Journal of Econometrics 76, 193-221] estimator, based on higher moments, is well suited to correct for the bias induced by measurement errors in both the CAPM and the three-factor model of Fama and French [Fama, E.F., French, K.R., 1997. Industry costs of equity. Journal of Financial Economics 43, 153-193].
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alain Coën, François-Ãric Racicot,