IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v17y2001i02p475-482_17.html
   My bibliography  Save this article

A Note On Bayesian Inference In Asset Pricing

Author

Listed:
  • Knight, J.L.
  • Satchell, S.E.

Abstract

In this paper the authors extend results by Harvey and Zhou (1990, Journal of Financial Econometrics 26, 221–254) and Kandel, McCulloch, and Stambaugh (1995, Review of Financial Studies 8(1), 1–53) to derive the posterior distribution of a key parameter in a Bayesian analysis of asset pricing models. It is shown that this distribution depends upon the same terms that constitute the standard asset pricing test of Jobson and Korkie (1985, Canadian Journal of Administrative Science 12, 114–138). Contrary to the view held by other authors, we find straightforward expressions for the posterior distribution that can be calculated without resorting to Monte Carlo methods.

Suggested Citation

  • Knight, J.L. & Satchell, S.E., 2001. "A Note On Bayesian Inference In Asset Pricing," Econometric Theory, Cambridge University Press, vol. 17(2), pages 475-482, April.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:475-482_17
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466601172099/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:475-482_17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.