Bayesian Estimation of Risk-Premia in an APT Context

Thumbnail
View / Open Files
Authors
Darsinos, Theofanis
Satchell, Stephen E.
Publication Date
2004-06-16
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Language
en_GB
Type
Working Paper
Metadata
Show full item record
Citation
Darsinos, T., & Satchell, S. E. (2004). Bayesian Estimation of Risk-Premia in an APT Context. https://doi.org/10.17863/CAM.5517
Abstract
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.
Keywords
Estimation, Arbitrage Pricing Theory, Risk Premium, Classification-JEL: C11, C13, G12, Bayesian
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.5517
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/361https://www.repository.cam.ac.uk/handle/1810/361


Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/