Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange

Jose Gomez-Gonzalez and Elioth Mirsha Sanabria-Buenaventura

Economic Systems, 2014, vol. 38, issue 2, 261-268

Abstract: We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of better and consistent fit 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)
Date: 2014
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange (2012)
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:eee:ecosys:v:38:y:2014:i:2:p:261-268

DOI: 10.1016/j.ecosys.2013.09.003

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