Marc Desban, Maître de conférences à l'AEI IS est le co-auteur d'une étude en réponse au problème des erreurs dans les variables dans l’estimation des modèles d’évaluation des actifs

Publié le 21 juin 2022

Marc Desban est Maître de conférences en Sciences de Gestion et du Management à l'AEI International School. Le Travail de recherche, publié dans la revue Finance (Vol. 43, p.1 à p.78), est issu de sa collaboration avec Erkin Diyarbakirlioglu et Souad Lajili Jarjir

Travail de recherche
Travail de recherche

Résumé :

We implement a new framework to mitigate the errors-in-variables (EIV) problem in the estimation of asset pricing models. Considering an international data of portfolio stock returns from 1990 to 2021 widely used in empirical studies, we highlight the importance of the estimation method in time-series regressions. We compare the traditional Ordinary-Least Squares (OLS) method to an alternative estimator based on a Compact Genetic Algorithm (CGA) in the case of the CAPM, three-, and five-factor models. Based on intercepts , betas , adjusted R2, and the Gibbons, Ross and Shanken (1989) test, we find that the CGA-based method outperforms overall the OLS for the three asset pricing models. In particular, we obtain less statistically significant intercepts, smoother R2 across different portfolios and lower GRS test statistics. Specifically, in line with Roll’s critique (1977) on the unobservability of the market portfolio, we reduce the attenuation bias in market risk premium estimates. Moreover, our results are robust to alternative methods such as Instrumental Variables estimated with Generalized-Method of Moments (GMM). Our findings have several empirical and managerial implications related to the estimation of asset pricing models as well as their interpretation as a popular tool in terms of corporate financial decision-making.