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

Jose Gomez-Gonzalez () and Elioth Sanabria ()

Borradores de Economia from Banco de la Republica de Colombia

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
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Downloads: (external link)
https://doi.org/10.32468/be.697 (application/pdf)

Related works:
Journal Article: Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange (2014) Downloads
Working Paper: Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange (2012) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:697

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