A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING
Knight, J.L.; Satchell, S.E.; Knight J.L.; University of Western Ontario; University of Western Ontario; Satchell S.E.; University of Cambridge
Журнал:
Econometric Theory
Дата:
2001
Аннотация:
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.
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