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Non-parametric and Semi-parametric Asset Pricing: An Application to the Colombian Stock Exchange
by
Jose ́ Eduardo Gómez-gonzáleza
,
Elioth Mirsha Sanabria-buenaventurab
BibTeX
@MISC{Gómez-gonzáleza_non-parametricand,
author = {Jose ́ Eduardo Gómez-gonzáleza and Elioth Mirsha Sanabria-buenaventurab},
title = {Non-parametric and Semi-parametric Asset Pricing: An Application to the Colombian Stock Exchange},
year = {}
}
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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 hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM.
