Empirical validation of CAPM
This paper pretends to show empirical evidence of the CAPM model of Sharpe-Lintner (1964) for Colombia from 2003 to 2010, whose validation is carried out using the method of Black, Jensen and Scholes (1972) but introducing certain methodological econometric type changes associated to the requirement...
- Autores:
-
Ramírez Hassan, Andrés
Serna Rodriguez, Maribel
- Tipo de recurso:
- Fecha de publicación:
- 2012
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/9149
- Acceso en línea:
- http://hdl.handle.net/10784/9149
- Palabra clave:
- ECONOMETRÍA
MODELOS DE VALORACIÓN DE ACTIVOS DE CAPITAL
MERCADO DE CAPITALES
MODELOS ECONÓMICOS
ANÁLISIS DE SERIES DE TIEMPO
Econometrics
Capital assets pricing models
Capital market
Economic models
Time-series analysis
- Rights
- License
- Acceso abierto
| Summary: | This paper pretends to show empirical evidence of the CAPM model of Sharpe-Lintner (1964) for Colombia from 2003 to 2010, whose validation is carried out using the method of Black, Jensen and Scholes (1972) but introducing certain methodological econometric type changes associated to the requirements imposed by the used sample -- Specifically, we found no empirical evidence to reject the CAPM for the Colombian economyin the period under analysis |
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