Non Parametric and Semi Parametric Asset Pricing: An Application to the Colombian Stock Exchange


  • Borradores de economía


  • 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.

fecha de publicación

  • 2012-03

Líneas de investigación

  • Bootstrapping
  • CAPM
  • Kernel estimation
  • Non-parametrics
  • SML


  • 9384