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Non-parametric and semi-parametric Asset Pricing: An Application to the Colombian Stock Exchange Artículo uri icon

Abstracto

  • We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of better and consistent fit of non-parametrical versions of the CAPM.

fecha de publicación

  • 2014