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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/2600856
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