Capital asset pricing models revisited: evidence from errors in variables

DOI10.1016/J.ECONLET.2006.11.021MaRDI QIDQ1934082zbMATH OpenOpenAlexFDO

Authors Alain Coën, François-Éric Racicot

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 modelserrors in the variableshigher momentsinstrumental variablesmeasurement errors

Mathematics Subject Classification ID

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

Recommendations

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• A two-phase approach to estimating time-varying parameters in the capital asset pricing model
• Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model

Cites work

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• Consistent Sets of Estimates for Regressions with Errors in All Variables
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Cited in

(15)

• Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
• A fuzzy multifactor asset pricing model
• CAPM-anomalies: quantitative puzzles
• Measurement error in multiple equations: Tobin's q and corporate investment, saving, and debt
• Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model
• A two-step capital variation model: optimization by different statistical criteria
• Estimating the cost of capital through time: An analysis of the sources of error
• Two estimators for the APT model when factors are measured
• Asset Pricing Specification Errors and Performance Evaluation
• scientific article; zbMATH DE number 1538095 (Why is no real title available?)
• scientific article; zbMATH DE number 1795162 (Why is no real title available?)
• Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
• Alternative methods to deal with measurement error
• Effects of measurement errors on systematic risk and performance measure of a portfolio
• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models

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