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

Jose Gomez-Gonzalez and Elioth Sanabria (em.sanabria86@uniandes.edu.co)

No 9384, Borradores de Economia from Banco de la Republica

Abstract: 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.

Keywords: CAPM; Non-parametrics; Kernel estimation; bootstrapping; SML. (search for similar items in EconPapers)
JEL-codes: C14 C15 G12 (search for similar items in EconPapers)
Pages: 11
Date: 2012-03-11
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http://www.banrep.gov.co/docum/ftp/borra697.pdf

Related works:
Journal Article: Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange (2014)
Working Paper: Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:009384

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