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Econometric issues related to errors in variables in financial models. (English) Zbl 0984.91049
Strøom, Steinar (ed.), Econometrics and economic theory in the 20th century. The Ragnar Frisch centennial symposium. Papers from the symposium held in Oslo, Norway, March 3-5, 1995. Cambridge: Cambridge University Press. Econ. Soc. Monogr. 31, 414-432 (1998).
From the introduction: Empirical researchers have to face the problems of errors in variables all the time. This essay discusses that problem in the context of financial models in which proxies are used for unobservables almost all the time. We discuss this problem with reference to the following topics: (1) tests of the capital-asset pricing model, (2) tests of the arbitrage pricing theory, using observed macroeconomic variables as proxies for unobserved factors, (3) measures market responses to corporate pronouncements (dividends, stock splits, etc.), also known as testing signaling models, (4) portfolio performance measures.
For the entire collection see [Zbl 0944.00092].
MSC:
91B28 Finance etc. (MSC2000)
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