@techreport{20.500.12134/5714,
author = {Gómez-González, José Eduardo},
author = {Sanabria-Buenaventura, Elioth Mirsha},
year = {2012},
month = {3},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/5714},
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 hyp},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 697},
title = {Non-parametric and semi-parametric asset pricing : an application to the colombian stock exchange},
keywords = {CAPM},
keywords = {Non-parametrics},
keywords = {Kernel estimation},
keywords = {Bootstrapping},
keywords = {SML},
doi = {https://doi.org/10.32468/be.697},
}