Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange |
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| Affiliation: | 1. Thoracic Oncology Research (ThOR) Group, Multidisciplinary Thoracic Oncology Program, Baptist Cancer Center, Memphis, TN;2. Louisiana State University, New Orleans, LA;3. University of Alabama Birmingham, Birmingham, AL;4. Tulane University, New Orleans, LA;5. Duckworth Pathology Group, Memphis, TN;6. Department of Epidemiology and Biostatistics, School of Public Health, University of Memphis, Memphis, TN;7. Department of Pathology, St Francis Hospital, Memphis, TN |
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| Abstract: | 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. |
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| Keywords: | CAPM Non-parametrics Kernel estimation Bootstrapping SML |
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