Abstract

RAMIREZ HASSAN, Andrés  and  SERNA RODRIGUEZ, Maribel. Empirical validation of CAPM for Colombia 2003-2010. ecos.econ. [online]. 2012, vol.16, n.34, pp.49-74. ISSN 1657-4206.

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 economy in the period under analysis.

Keywords : CAPM Colombia; Time - Series Contrast; Transversal Contrast.

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