dc.creator	Gómez-González, José Eduardo
dc.creator	Sanabria-Buenaventura, Elioth Mirsha
dc.date.created	2012-03-13
dc.date.issued	2012-03-13
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/5714
dc.description.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
dc.format.mimetype	PDF
dc.language.iso	spa
dc.publisher	Banco de la República
dc.relation.ispartof	Documentos de Trabajo
dc.relation.ispartofseries	Borradores de Economía
dc.relation.isversionof	Borradores de Economía; No. 697
dc.rights.accessRights	Open Access
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.title	Non-parametric and semi-parametric asset pricing : an application to the colombian stock exchange
dc.type	Working Paper
dc.subject.jel	C14 - Semiparametric and Nonparametric Methods: General
dc.subject.jel	G12 - Asset Pricing; Trading Volume; Bond Interest Rates
dc.subject.jel	C15 - Statistical Simulation Methods: General
dc.subject.keyword	CAPM
dc.subject.keyword	Non-parametrics
dc.subject.keyword	Kernel estimation
dc.subject.keyword	Bootstrapping
dc.subject.keyword	SML
dc.subject.lemb	Bolsa de Valores (Colombia) -- Activos (Contabilidad) -- Valoración
dc.subject.lemb	Valoración de activos -- Colombia
dc.type.spa	Documentos de trabajo
dc.rights.spa	Acceso abierto
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspa	C15 - Métodos de simulación estadística: generalidades
dc.subject.jelspa	C14 - Métodos semiparamétricos y no paramétricos: generalidades
dc.subject.jelspa	G12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
dc.type.hasversion	Published Version
dc.coverage.sucursal	Bogotá
dc.relation.doi	https://doi.org/10.32468/be.697
dc.rights.disclaimer	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.
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/697.html
dc.identifier.handle	https://hdl.handle.net/20.500.12134/5714
dc.source.handleRepec	RePEc:bdr:borrec:697

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

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