Número:
697
Publicado:
Clasificación JEL:
G12, C14, C15
Palabras clave:
CAPM, Non-parametrics, Kernel estimation, bootstrapping
Lo más reciente
Jhorland Ayala-García, Karelys Guzmán-Finol
Carlos Alberto Arango-Arango, Yanneth Rocío Betancourt-García
Francisco Javier Lasso-Valderrama, 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