Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM.

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Year of publication:	2012-03-11
Authors:	Gómez-González, José Eduardo ; Sanabria-Buenaventura, Elioth Mirsha
Institutions:	BANCO DE LA REPÚBLICA
Subject:	CAPM \| Non-parametrics \| Kernel estimation \| bootstrapping \| SML

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Series:	BORRADORES DE ECONOMIA.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Classification:	G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010763661