| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5056319 | Economic Systems | 2014 | 8 Pages |
Abstract
â¢We estimate a non-parametric CAPM and find evidence for rejecting the classical linear CAPM.â¢We find inconsistent linear betas for a series of stocks listed in the BVC.â¢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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Eduardo Gómez-González, Elioth Mirsha Sanabria-Buenaventura,