2015
DOI: 10.1057/jam.2015.22
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The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

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Cited by 22 publications
(23 citation statements)
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References 47 publications
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“…This suggests that the SMB factor contains significant measurement errors. The results are consistent with Racicot and Rentz (2015).…”
Section: Estimating the Six-factor Asset Pricing Model With Specificasupporting
confidence: 89%
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“…This suggests that the SMB factor contains significant measurement errors. The results are consistent with Racicot and Rentz (2015).…”
Section: Estimating the Six-factor Asset Pricing Model With Specificasupporting
confidence: 89%
“…where b ε i is the estimated residual from our proposed six-factor asset pricing regression equation (1). As in Racicot and Rentz (2015), the coefficients of this regression disaggregate the effect of each regressor with the error term. Therefore, the resulting coefficients are analogous to the partial correlation coefficients.…”
Section: Exogeneity Testmentioning
confidence: 99%
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“…Two features of this approach are that it (i) is a parsimonious because it does not require much computational power and (ii) it can be viewed as minimizing a distance (d) measure. This GMM approach is referred to as GMM d in our previous work (Racicot and Théoret 2014;Racicot and Rentz, forthcoming). The GMM d instruments are obtained using a weighted average of the Durbin's and Pal's estimators (see Dagenais and Dagenais, 1994).…”
Section: Introductionmentioning
confidence: 99%
“…7is the GMM-based robust instrumental variables technique (see Le Yu & Sokbae, 2018). As highlighted by Racicot and Rentz (2015) (see also Racicot & Rentz, 2016 and the references therein) it is important to account for the presence of measurement errors and endogeneity that may lead to an inconsistent estimation when the ordinary least squares method is applied to a Fama and French-type model. Recent research has highlighted that liquidity, for example, may endogenously reveal itself during a period of financial turmoil (see Adrian, Fleming, Shachar, & Vogt, 2017).…”
Section: Tablementioning
confidence: 99%