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Bayesian Estimation of Risk-Premia in an APT Context

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Author Info
Darsinos, T.
Satchell, S.E.

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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.

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File URL: http://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0329.pdf
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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0329.

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Length: 25
Date of creation: May 2003
Date of revision:
Handle: RePEc:cam:camdae:0329

Note: EM
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Related research
Keywords: Bayesian; Estimation; Arbitrage Pricing Theory; Risk Premium;

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2009-11-16.

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