Bayesian Estimation of Risk-Premia in an APT Context

Theofanis Darsinos () and S.E. Satchell

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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: Bayesian; Estimation; Arbitrage Pricing Theory; Risk Premium (search for similar items in EconPapers)
JEL-codes: C11 C13 G12 (search for similar items in EconPapers)
Pages: 25
Date: 2003-05
New Economics Papers: this item is included in nep-cfn and nep-ecm
Note: EM
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0329

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