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
2010-01-01

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.
2010
978-88-470-1480-0
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.

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

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact