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

Borradores de Economia
Número: 
697
Publicado: 
Clasificación JEL: 
G12, C14, C15
Palabras clave: 
CAPM, Non-parametrics, Kernel estimation, bootstrapping
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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