Validación empírica del modelo CAPM para Colombia 2003-2010

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...

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Bibliographic Details
Published in:Ecos de economía 2012-06, Vol.16 (34), p.49-74
Main Authors: Ramírez Hassan, Andrés, Serna Rodriguez, Maribel
Format: Article
Language:Spanish
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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.
ISSN:1657-4206
2462-8107
DOI:10.17230/ecos.2012.34.3