A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited
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More about this item
Keywords
Errors in the variables; cumulants; higher moments; instrumental variables; cost of equity; Jensen alpha.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2006-06-24 (Business Economics)
- NEP-CFN-2006-06-24 (Corporate Finance)
- NEP-ECM-2006-06-24 (Econometrics)
- NEP-ETS-2006-06-24 (Econometric Time Series)
- NEP-FIN-2006-06-24 (Finance)
- NEP-FMK-2006-06-24 (Financial Markets)
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