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

José Eduardo Gómez-González; Elioth Mirsha Sanabria-Buenaventura

Number:

697

Published:

Thursday, 1 March 2012

Classification JEL:

G12, C14, C15

Keywords:

Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

Download document

The most recent

Documentos de Trabajo sobre Economía Regional y Urbana - The Impact of Hard Discount Stores on Local Labor Markets: Evidence from Colombia

Lukas Delgado-Prieto, Andrea Sofía Otero-Cortés, Andrés Calderón

Documentos de Trabajo sobre Economía Regional y Urbana - Natural disasters, emergency declaration, and corruption

Jhorland Ayala-García

Borradores de Economía - Debt taxes during crises, a blessing in disguise?

Julián Andrés Parra-Polanía, Carmiña Ofelia Vargas-Riaño

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