Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange

- We estimate a non-parametric CAPM and find evidence for rejecting the classical linear CAPM.
- We find inconsistent linear betas for a series of stocks listed in the BVC.
- Non-parametric versions of the CAPM produce a better fit than classical, linear versions.

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.