Capital asset pricing models revisited: evidence from errors in variables

DOI10.1016/j.econlet.2006.11.021zbMath1255.91435OpenAlexW2000144329MaRDI QIDQ1934082

François-Éric Racicot, Alain Coën

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.11.021

zbMATH Keywords

asset pricing modelsinstrumental variablesmeasurement errorshigher momentserrors in the variables

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

Related Items (1)

A fuzzy multifactor asset pricing model

Cites Work

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• Consistent moment estimators of regression coefficients in the presence of errors in variables
• Higher moment estimators for linear regression models with errors in the variables
• Consistent Sets of Estimates for Regressions with Errors in All Variables
• Specification Tests in Econometrics
• TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS
• Common risk factors in the returns on stocks and bonds
• Errors in Variables

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