Article thumbnail

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

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


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:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.