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

Posted: 30 Oct 2015

Date Written: 2014

Abstract

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.

Keywords: CAPM, Non-parametrics, Kernel estimation, Bootstrapping, SML

JEL Classification: G12, C14, C15

Suggested Citation

Gomez-Gonzalez, Jose Eduardo and Sanabria-Buenaventura, Elioth, Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange (2014). Economic Systems, Vol. 38, No. 2, 2014, Available at SSRN: https://ssrn.com/abstract=2682490

Jose Eduardo Gomez-Gonzalez (Contact Author)

Banco de la Republica ( email )

Carrera 7 #14-78
Bogota
Colombia

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