A non-parametric test of the conditional CAPM for the Mexican economy

  • Jorge H. Del Castillo Spíndola Universidad Nacional Autónoma de México
Keywords: conditional mean-variance efficiency, betas of the assets, market risk premium, non-parametric testing
JEL Classification: C12, C13, C14, G12, G13, G14


Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM).However, many anomalies and evidence against this version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a non-parametric methodology suggested by Wang that avoids the problem of functional misspecification of the betas of the assets.


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How to Cite
Del Castillo SpíndolaJ. (2006). A non-parametric test of the conditional CAPM for the Mexican economy. Estudios Económicos, 21(2), 275-297. https://doi.org/10.24201/ee.v21i2.151
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