Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach

Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach

This paper introduces an instrumental variable Bayesian shrinkage approach specifically designed for estimating the capital asset pricing model (CAPM) while utilizing a large number of instruments. Our methodology incorporates horseshoe, Laplace, and factor-based shrinkage priors to construct Bayesi...

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Bibliographic Details
Main Authors: Cássio Roberto de Andrade Alves, Márcio Laurini
Format: Article
Language:English
Published: MDPI AG 2023-09-01
Series:Mathematics
Subjects:
Bayesian estimation
shrinkage
instrumental variables
CAPM
Online Access:https://www.mdpi.com/2227-7390/11/17/3776

Internet

https://www.mdpi.com/2227-7390/11/17/3776

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