Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale

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dc.contributor.authorLeal, Danilo
dc.contributor.authorJiménez, Rodrigo
dc.contributor.authorRiquelme, Marco
dc.contributor.authorLeiva, Víctor
dc.date.accessioned2023-07-21T18:57:25Z
dc.date.available2023-07-21T18:57:25Z
dc.date.issued2023-03
dc.descriptionIndexación: Scopuses
dc.description.abstractThe capital asset pricing model (CAPM) is often based on the Gaussianity or normality assumption. However, such an assumption is frequently violated in practical situations. In this paper, we introduce the symmetric CAPM considering distributions with lighter or heavier tails than the normal distribution. These distributions are symmetric and belong to the family of elliptical distributions. We pay special attention to the family members related to the normal, power-exponential, and Student-t cases, with the power-exponential distribution being particularly considered, as it has not been explored widely. Based on these cases, the expectation-maximization algorithm can be used to facilitate the estimation of model parameters utilizing the maximum likelihood method. In addition, we derive the leverage and local influence methods to carry out diagnostics in the symmetric CAPM. We conduct a detailed case study to apply the obtained results estimating the systematic risk of the financial assets of a Chilean company with real data. We employ the Akaike information criterion to conclude that the studied models provide better results than the CAPM under Gaussianity.es
dc.description.urihttps://www-scopus-com.recursosbiblioteca.unab.cl/record/display.uri?eid=2-s2.0-85151510241&origin=resultslist&sort=plf-f&src=s&sid=20df870dd9f0f139b6dee75784e0388c&sot=aff&sdt=aff&sl=61&s=AF-ID%28%22Universidad+Andr%c3%a9s+Bello%22+60002636%29+AND+SUBJAREA%28ENGI%29&relpos=28&citeCnt=0&searchTerm=
dc.identifier.citationMathematics Open Access Volume 11, Issue 6 March 2023 Article number 1394es
dc.identifier.doi10.3390/math11061394
dc.identifier.issn22277390
dc.identifier.urihttps://repositorio.unab.cl/xmlui/handle/ria/51911
dc.language.isoenes
dc.publisherMDPIes
dc.rights.licenseAttribution 4.0 International (CC BY 4.0)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectCAPMes
dc.subjectexpectation-maximization algorithmes
dc.subjectfinancial asset valuationes
dc.subjectgeneralized leveragees
dc.subjectlocal influence diagnosticses
dc.subjectsymmetric or univariate elliptical distributionses
dc.subjectsystematic riskes
dc.titleElliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationalees
dc.typeArtículoes
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