Browsing by Autor "Elioth Mirsha Sanabria-Buenaventura"

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    Non-parametric and semi-parametric asset pricing : an application to the colombian stock exchange
    (2012) José Eduardo Gómez-González; Elioth Mirsha Sanabria-Buenaventura
    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 hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM.