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

François-Éric Racicot (), Raymond Théoret () and Alain Coen ()
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Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)
Alain Coen: Département de stratégie des affaires, Université du Québec (Montréal)

No UQO-DSA-wp132006, RePAd Working Paper Series from Département des sciences administratives, UQO

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.

Keywords: Asset pricing; portfolio selection; errors in variables; measurement errors; higher moments; instrumental variables; Specification test; corporate governance; protection of investors. (search for similar items in EconPapers)
JEL-codes: C13 C19 C49 G12 G31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-acc, nep-cfn, nep-ecm, nep-fin and nep-fmk
Date: 2006-03-01

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Persistent link: http://EconPapers.repec.org/RePEc:pqs:wpaper:132006

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