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
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2012-06-152016-09-15T13:18:02Z2012-06-152016-09-15T13:18:02Z1657-4206http://hdl.handle.net/10784/9149This 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 analysisEn este trabajo se pretende mostrar una evidencia empírica para Colombia, desde el año 2003 hasta el 2010, del modelo CAPM de Sharpe –Lintner (1964), validación que se lleva a cabo utilizando el procedimiento de Black, Jensen y Scholes (1972) pero introduciendo ciertos cambios metodológicos de índole econométrico asociados a las necesidades que impone la muestra utilizada -- Específicamente, se encontró que no hay evidencia empírica para rechazar el modelo CAPM para la economía colombiana en el período objeto de análisisapplication/pdfspaUniversidad EAFITEcos de Economía; Vol 16, No 34 (2012); 49-74http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1642http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1642instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 16, No 34 (2012); 49-74Empirical validation of CAPMValidación empírica del modelo CAPM para Colombia 2003-2010info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionarticlepublishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Acceso abiertohttp://purl.org/coar/access_right/c_abf2ECONOMETRÍAMODELOS DE VALORACIÓN DE ACTIVOS DE CAPITALMERCADO DE CAPITALESMODELOS ECONÓMICOSANÁLISIS DE SERIES DE TIEMPOEconometricsCapital assets pricing modelsCapital marketEconomic modelsTime-series analysisRamírez Hassan, AndrésSerna Rodriguez, MaribelEcos de Economía: A Latin American Journal of Applied Economics16344974ecos.econ.ORIGINALarticulo.htmlarticulo.htmlTexto completo HTMLtext/html371https://repository.eafit.edu.co/bitstreams/1688cbb6-4f3c-4866-a36e-1488c0a99cc9/download9ef2ec5463091877280d7980e5df0028MD51document - 2020-03-11T104737.821.pdfdocument - 2020-03-11T104737.821.pdfTexto completo PDFapplication/pdf750766https://repository.eafit.edu.co/bitstreams/dbf53436-43a0-42e2-8aa0-b40cdffdee66/downloada3e0d8e56822eac5e3b5b9693010f11dMD52THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/e963b5e4-5b0d-4a5d-ad8b-37bd5aa39dbd/download9b15d674b076c1793a0bc25cebb1bcefMD5310784/9149oai:repository.eafit.edu.co:10784/91492020-03-11 10:47:35.65open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
| dc.title.eng.fl_str_mv |
Empirical validation of CAPM |
| dc.title.spa.fl_str_mv |
Validación empírica del modelo CAPM para Colombia 2003-2010 |
| title |
Empirical validation of CAPM |
| spellingShingle |
Empirical validation of CAPM 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 |
| title_short |
Empirical validation of CAPM |
| title_full |
Empirical validation of CAPM |
| title_fullStr |
Empirical validation of CAPM |
| title_full_unstemmed |
Empirical validation of CAPM |
| title_sort |
Empirical validation of CAPM |
| dc.creator.fl_str_mv |
Ramírez Hassan, Andrés Serna Rodriguez, Maribel |
| dc.contributor.author.spa.fl_str_mv |
Ramírez Hassan, Andrés Serna Rodriguez, Maribel |
| dc.subject.lemb.none.fl_str_mv |
ECONOMETRÍA MODELOS DE VALORACIÓN DE ACTIVOS DE CAPITAL MERCADO DE CAPITALES MODELOS ECONÓMICOS ANÁLISIS DE SERIES DE TIEMPO |
| topic |
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 |
| dc.subject.keyword.none.fl_str_mv |
Econometrics Capital assets pricing models Capital market Economic models Time-series analysis |
| description |
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 |
| publishDate |
2012 |
| dc.date.issued.none.fl_str_mv |
2012-06-15 |
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2016-09-15T13:18:02Z |
| dc.date.accessioned.none.fl_str_mv |
2016-09-15T13:18:02Z |
| dc.date.none.fl_str_mv |
2012-06-15 |
| dc.type.eng.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion article publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Artículo |
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publishedVersion |
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1657-4206 |
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http://hdl.handle.net/10784/9149 |
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1657-4206 |
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http://hdl.handle.net/10784/9149 |
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spa |
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spa |
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Ecos de Economía; Vol 16, No 34 (2012); 49-74 |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1642 |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1642 |
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Acceso abierto |
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application/pdf |
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Universidad EAFIT |
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Ecos de Economía: A Latin American Journal of Applied Economics; Vol 16, No 34 (2012); 49-74 |
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