Non-parametric and semi-parametric asset pricing : an application to the colombian stock exchange

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Borradores de Economía; No. 697
Date published
2012-03-13
Date of last update
2012-03-13
Author
Gómez-González, José Eduardo
Sanabria-Buenaventura, Elioth Mirsha
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
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
JEL Codes
C14 - Semiparametric and Nonparametric Methods: GeneralG12 - Asset Pricing; Trading Volume; Bond Interest RatesC15 - Statistical Simulation Methods: General
Keywords
CAPM ; Non-parametrics ; Kernel estimation ; Bootstrapping ; SML ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5714
https://hdl.handle.net/20.500.12134/5714
https://doi.org/10.32468/be.697
https://ideas.repec.org/p/bdr/borrec/697.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit