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

By Jose ́ Eduardo Gómez-gonzáleza and Elioth Mirsha Sanabria-buenaventurab

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

Topics: CAPM, Non-parametrics, Kernel estimation, bootstrapping, SML JEL classification, G12, C14, C15
Year: 2016
OAI identifier: oai:CiteSeerX.psu:10.1.1.825.4582
Provided by: CiteSeerX
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