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Francois-Éric Racicot; Raymond Théoret; Alain Coen (2006)
Types: Preprint
Subjects: Asset pricing, portfolio selection, errors in variables, measurement errors, higher moments, instrumental variables, Specification test, corporate governance, protection of investors.
jel: jel:C13, jel:C19, jel:C49, jel:G12, jel:G31
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.
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