Errors in Variables and Evaluation Model of Canadian Financial Assets (notice n° 166184)
[ vue normale ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01450cam a2200181 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034005.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Carmichael, Benoît |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Errors in Variables and Evaluation Model of Canadian Financial Assets |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2008.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 24 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper sheds a new light on Fama and French (1993) and Carhart (1997) multifactor models estimation focusing on the possibility of errors-in-variables. We use monthly data for the Canadian stock market from July 1960 to December 2004. Fama and French (1997) conclude that “ estimates of the cost of equity for the three-factor model of FF (1993)” are imprecise. Our results show that this imprecision is more severe in presence of measurement errors. We suggest to use Dagenais and Dagenais (1997) higher moments estimator to deal with this problem. This estimator has the advantages of being easy to compute and to require no extraneous information. We show that estimates of the cost of equity on the Canadian stock market obtained with Dagenais and Dagenais estimator sharply differ from biased OLS estimates. This approach revisits performance attribution and abnormal performance (?). |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Coën, Alain |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | L’Her, Jean-François |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 29 | 1 | 2008-06-01 | p. 7-29 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2008-1-page-7?lang=en">https://shs.cairn.info/journal-finance-2008-1-page-7?lang=en</a> |
Pas d'exemplaire disponible.
Réseaux sociaux