A non-parametric test of the conditional CAPM for the Mexican economy
Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM).However, many anomalies and evidence against this version have been presented. To assume that the CAPM hol...
| Autor: | |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2006 |
| País: | México |
| Institución: | EL COLEGIO DE MÉXICO |
| Repositorio: | Estudios Económicos de El Colegio de México |
| Idioma: | español |
| OAI Identifier: | oai:oai.estudioseconomicos.colmex.mx:article/151 |
| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/151 |
| Access Level: | acceso abierto |
| Palabra clave: | conditional mean-variance efficiency betas of the assets market risk premium non-parametric testing C12 C13 C14 G12 G13 G14 CAPM eficiencia media-varianza condicional betas de los activos premio de riesgo de mercado prueba no-paramétrica |
| Sumario: | Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM).However, many anomalies and evidence against this version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a non-parametric methodology suggested by Wang that avoids the problem of functional misspecification of the betas of the assets. |
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