Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange
Posted: 30 Oct 2015
Date Written: 2014
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
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