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Non-parametric and semi-parametric asset pricing : an application to the colombian stock exchange

José Eduardo
Elioth Mirsha
Jueves, 1 Marzo 2012

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 hyp