So sánh các chiến lược quỹ đầu tư mạo hiểm sử dụng ước lượng mới dựa trên Hausman

Watson, C.T. (2003) ‘GMM and the Fama and French Model: The Role of Instruments, Economics Department’, Working Paper, UCLA. Chen, N.F., Roll, R. and Ross, S. (1986) ‘Economic Forces and the Stock Market’, Journal of Business, Vol. 59, No. 3, pp. 572–621. Hausman, J.A. (1978) ‘Specification Tests in Econometrics’, Econometrica, Vol. 46, pp. 1251–1271. Pindyck, R.S. and Rubinfeld, D.L. (1998) ‘Econometric Models and Economic Forecasts’, 4th edn, Irwin-McGraw-Hill, New York. Spencer, D.E. and Berk, K.N. (1981) ‘A Limited Information Specification Test’, Econometrica, Vol. 49, No. 4, pp. 1079–1085. Wu, D. (1973) ‘Alternative Tests of Independence Between Stochastic Regressors and Disturbances’, Econometrica, Vol. 41, pp. 733–750. For this section, see also Racicot, Théoret and Coën (2007), Racicot and Théoret (2007), Théoret and Racicot (2007), Racicot and Théoret (2006), Coën, Racicot and Théoret (2006a, b), Coën, Desfleurs, Hübner and Racicot (2005), Racicot and Théoret (2004) and Racicot (2003). Fama, E.F. and French, K.R. (1992) ‘The Cross-Section of Expected Stock Returns’, Journal of Finance, Vol. 47, No. 2, pp. 427–465. Fama, E.F. and French, K.R. (1993) ‘Common risk Factors in the Returns on Stocks and Bonds’, Journal of Financial Economics, Vol. 33, No. 1, pp. 3–56. Fama, E.F. and French, K.R. (1997) ‘Industry Costs of Equity’, Journal of Financial Economics, Vol. 43, No. 2, pp. 153–193. The original F&F model contained only the first two ‘anomalies’. The momentum anomaly, which is due to Carhart (1997) and Jegadesh and Titman (1993), was introduced subsequently to form the augmented F&F model. Durbin, J. (1954) ‘Errors in Variables’, International Statistical Review, Vol. 22, No. 1/3, pp. 23–32. Pal, M. (1980) ‘Consistent Moment Estimators of Regression Coefficients in the Presence of Errors in Variables’, Journal of Econometrics, Vol. 14, No. 3, pp. 349–364. Dagenais, M.G. and Dagenais, D.L. (1997) ‘Higher Moment Estimators for Linear Regression Models with Errors in the Variables’, Journal of Econometrics, Vol. 76, No. 1–2, pp. 193–221. The reader will excuse ourselves for confounding at this stage higher moments and cumulants for the sake of the presentation. We will come back on the distinction between these two concepts later. See Ref. 13. Samuelson, P.A. (1970) ‘The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means, Variances and Higher Moments’, Review of Economic Studies, Vol. 37, No. 4, pp. 537–542. Rubinstein, M. (1973) ‘The Fundamental Theorem of Parameter-Preference Security Valuation’, Journal of Financial and Quantitative Analysis, Vol. 8, No. 1, pp. 61–69. Kraus, A. and Litzenberger, R. (1976) ‘Skewness Preference and the Valuation of Risk Assets’, Journal of Finance, Vol. 31, pp. 1085–1100. See also Jurczenko and Maillet (2006) for multi-moment asset pricing models. On the Hausman test, see: Hausman (1978), Wu (1973), MacKinnon (1992) and Pindyck and Rubinfeld (1998). A very good presentation of the version of the Hausman test using an artificial regression in the context of correction of errors in variables may be found in Pindyck and Rubinfeld (1998). This presentation is done for one explanatory variable. For a very good exposition on developments around Hausman specification test, see Racicot, F.-É., Théoret, R. and Coën, A. (2007). A new empirical version of the Fama and French model based on the Hausman specification test: An application to hedge funds. Best paper award, Proceedings of the Global Finance Conference, Melbourne, Australia. Therefore, the Hausman test is an orthogonality test, that is it aims to verify if p lim (1/T) X'ɛ=0 in large samples. MacKinnon, J.G. (1992) ‘Model Specification Tests and Artificial Regressions’, Journal of Economic Literature, Vol. 30, No. 1, pp. 102–146. As done usually in econometrics, we use the asterisks for the unobserved variables. Racicot, F.E. (2003) ‘On Measurement Errors in Economic and Financial Variables’, in Three Essays on the Analysis of Economic and Financial Data, Chapter 3, PhD thesis. (ESG-UQAM), 2003 (published in French). Kendall, M.G. and Stuart, A. (1963) ‘The Advanced Theory of Statistics’, Volume. 1, Charles Griffin, London. See, for example, Malevergne et Sornette (2005) on the use of cumulants as measures of risk. Racicot, F.É. and Théoret, R. (2004) ‘Numerical calculus in quantitative and empirical finance (Le calcul numérique en finance empirique et quantitative)’, 2ième édition Presses de l'Université du Québec (PUQ), Québec. Coën, A., Desfleurs, A., Hübner, G. and Racicot, F.E. (2005) ‘A Reappraisal of the Performance of Hedge Funds in the Presence of Errors in Variables’, in Gregoriou, G. N., Papageorgiou, N., Hübner, G. and Rouah, F. (eds.), ‘Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation’, John Wiley & Sons, New Jersey. Coën, A. and Racicot, F.E. (2007) ‘Capital Asset Pricing Models Revisited: Evidence from Errors in Variables’, Economics Letters, Vol. 95, No. 3, pp. 443–450. The address of the French's website is: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. Here the excess return of the hedge fund composite index. Following the works of Chan and Faff (2005) and our own test, we resorted only to non-iterated GMM, iterated forms being problematic. Let us notice that the impact of the SMB factor is important when using the S&P500 as the market portfolio in the F&F model but that its influence vanishes when resorting to the hedge fund composite index as benchmark. Please note that the t-statistics of the estimated coefficients are in parentheses.