Author(s) / Editor(s): 
José Eduardo Gómez, Elioth Mirsha Sanabria

Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange


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.

Disclaimer: The findings, recommendations, interpretations and conclussions express in this paper are those of the authors and do not reflect the views of the Banco de la República or its board of directors. 

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