Bayesian Estimation of Risk-Premia in an APT Context
Satchell, Stephen E.
Cambridge Working Papers in Economics
Faculty of Economics
MetadataShow full item record
Darsinos, T., & Satchell, S. E. (2004). Bayesian Estimation of Risk-Premia in an APT Context. https://doi.org/10.17863/CAM.5517
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.
Estimation, Arbitrage Pricing Theory, Risk Premium, Classification-JEL: C11, C13, G12, Bayesian
This record's DOI: https://doi.org/10.17863/CAM.5517
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