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

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dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardo
dc.creatorSanabria-Buenaventura, Elioth Mirsha
dc.date.accessioned2012-03-13T08:30:10Zeng
dc.date.available2012-03-13T08:30:10Z
dc.date.created2012-03-13
dc.date.issued2012-03-13
dc.description.abstractWe 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 hypeng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5714spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5714
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.697spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 697
dc.relation.numberBorrador 697spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/697.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:697spa
dc.subject.jelC15 - Statistical Simulation Methods: Generaleng
dc.subject.jelspaC14 - Métodos semiparamétricos y no paramétricos: generalidadesspa
dc.subject.keywordCAPMeng
dc.subject.keywordNon-parametricseng
dc.subject.keywordKernel estimationeng
dc.subject.keywordBootstrappingeng
dc.subject.keywordSMLeng
dc.subject.lembBolsa de Valores (Colombia) -- Activos (Contabilidad) -- Valoraciónspa
dc.subject.lembValoración de activos -- Colombiaspa
dc.titleNon-parametric and semi-parametric asset pricing : an application to the colombian stock exchangespa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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