Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange
AbstractWe 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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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 697.
Date of creation: Mar 2012
Date of revision:
CAPM; Non-parametrics; Kernel estimation; bootstrapping; SML. Classification JEL: G12; C14; C15.;
Other versions of this item:
- José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," BORRADORES DE ECONOMIA 009384, BANCO DE LA REPÚBLICA.
- SML - - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- JEL - Labor and Demographic Economics - - - - -
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