The Estimation and Empirical Analysis of CAPM with Errors-in-Variables Problem

Abstract:

In many fields such as scientific experiment, economic analysis, etc, the exact measurement of the variables is difficult to obtain owing to the effects of various kinds of factors. In the application of economics, the relationship between the variables is too complex. The problem of dealing with the observed variables with measurement errors has been a vexing problem. In this paper, the estimation method of the capital asset pricing model with measurement errors is given, which effectively solves the problem that variables can not be observed precisely in the capital asset pricing model. The empirical analysis is presented.

• Periodical: Applied Mechanics and Materials (Volumes 170-173)
• Pages: 675-678
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.170-173.675
• Online since: May 2012
• Authors: Qiang Liu
• Keywords: Capital Asset Pricing Model, Empirical Analysis, Errors-in-Variables, Estimation

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