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A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas

1973; Wiley; Volume: 28; Issue: 5 Linguagem: Inglês

10.2307/2978759

1540-6261

Oldrich A Vasicek,

Financial Risk and Volatility Modeling

The Journal of FinanceVolume 28, Issue 5 p. 1233-1239 Article A NOTE ON USING CROSS-SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS Oldrich A. Vasicek, Oldrich A. Vasicek Wells Fargo Bank, N.A. This paper is a minor revision of the author's unpublished memorandum "Bayesian Estimates of Beta," Wells Fargo Bank, August 1971.Search for more papers by this author Oldrich A. Vasicek, Oldrich A. Vasicek Wells Fargo Bank, N.A. This paper is a minor revision of the author's unpublished memorandum "Bayesian Estimates of Beta," Wells Fargo Bank, August 1971.Search for more papers by this author First published: December 1973 https://doi.org/10.1111/j.1540-6261.1973.tb01452.xCitations: 279 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL REFERENCES 1Marcus C. Bogue. " The Estimation and Behavior of Systematic Risk", unpublished dissertation, Graduate School of Business Administration, Stanford University (1972). 2Basil A. Kalymon. "Estimation Risk in the Portfolio Selection Model", Journal of Financial and Quantitative Analysis (January 1971). 3Michael Kantor. "Market Sensitivities", Financial Analysts Journal (January 1971). 4John Lintner. " The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics (February 1965). 5Howard Raiffa and Robert Schlaifer. Applied Statistical Decision Theory (Harvard University, Boston 1961). 6William F. Sharpe. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk", Journal of Finance (September 1964). 7Jack L. Treynor. " Toward A Theory of Market Value of Risky Assets", unpublished memorandum (1961). 8Wayne H. Wagner and Oldrich A. Vasicek. " The Effect of Estimation Error of Beta on the Risk of Passive Portfolios", unpublished memorandum, Wells Fargo Bank (March 1971). Citing Literature Volume28, Issue5December 1973Pages 1233-1239 ReferencesRelatedInformation