search query: @indexterm Error correction models / total: 21
reference: 15 / 21
| Author: | Liang, B. |
| Title: | Portfolio formation, measurement errors, and beta shifts: a random sampling approach |
| Journal: | Journal of Financial Research
2000 : FALL, VOL. 23:3, p. 261-284 |
| Index terms: | Portfolio management Measurement theory Risk analysis Beta factor Error correction models |
| Language: | eng |
| Abstract: | This article demonstrates that the portfolio approach could suffer a serious problem when the sorting variables contain not only true values but also measurement errors. The grouped measurement errors are embedded into the data used to test financial models and further bias the testing results. To correct for this measurement-error problem, the author develops a random sampling approach to form portfolios. |
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