Abstract
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their betas. However, there is empirical evidence that such a relationship does not necessarily occur, and in some cases it might even be nonlinear. 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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Coretto, P., Lucia Parrella, M. (2010). Empirical likelihood based nonparametric testing for CAPM. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-1481-7_11
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DOI: https://doi.org/10.1007/978-88-470-1481-7_11
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1480-0
Online ISBN: 978-88-470-1481-7
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