@article{Del Castillo Spíndola_2006, title={A non-parametric test of the conditional CAPM for the Mexican economy}, volume={21}, url={https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/151}, DOI={10.24201/ee.v21i2.151}, abstractNote={<p>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.</p>}, number={2}, journal={Estudios Económicos de El Colegio de México}, author={Del Castillo Spíndola, Jorge H.}, year={2006}, month={Jul.}, pages={275–297} }