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

Economic Systems(2014)

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摘要
•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.
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G12,C14,C15
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