The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their betas. However, there are empirical evidences that such a relationship does not necessarily occur, and in some cases it might even be non-linear. In this paper we explore a nonparametric approach where the linear specification is tested against a nonparametric alternative. This methodology is implemented on S&P500 data.
Empirical Likelihood Based Nonparametric Testing for CAPM
CORETTO, Pietro;PARRELLA, Maria Lucia
2010
Abstract
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their betas. However, there are empirical evidences that such a relationship does not necessarily occur, and in some cases it might even be non-linear. In this paper we explore a nonparametric approach where the linear specification is tested against a nonparametric alternative. This methodology is implemented on S&P500 data.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
