Bayesian Estimation of Risk-Premia in an APT Context

Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors. Some illustrative calculations based on UK equity are also provided.

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Year of publication:	2003-05
Authors:	Darsinos, T. ; Satchell, S.E.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	Bayesian \| Estimation \| Arbitrage Pricing Theory \| Risk Premium

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Extent:	application/pdf
Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	EM 2 pages long
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005650522