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Validación empírica del modelo CAPM para Colombia 2003-2010


  • Andrés Ramírez Hassan
  • Maribel Serna Rodriguez


En este trabajo se pretende mostrar una evidencia empírica para Colombia, desde el ano 2003 hasta el 2010, del modelo CAPM de Sharpe -Lintner (1964), validación que se lleva a cabo utilizando el procedimiento de Black, Jensen y Scholes (1972) pero introduciendo ciertos cambios metodológicos de índole econométrico asociados a las necesidades que impone la muestra utilizada. Específicamente, se encontró que no hay evidencia empírica para rechazar el modelo CAPM para la economía colombiana en el período objeto de análisis.

Suggested Citation

  • Andrés Ramírez Hassan & Maribel Serna Rodriguez, 2012. "Validación empírica del modelo CAPM para Colombia 2003-2010," Revista Ecos de Economía, Universidad EAFIT, January.
  • Handle: RePEc:col:000442:010294

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    More about this item


    CAPM Colombia; contraste de serie temporal; contraste de corte transversal.;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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