León, Carlos; Leiton, Karen; Reveiz, Alejandro - BANCO DE LA REPÚBLICA - 2012
. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … fixes the CAPM´s bias resulting from this abiding -but flawed- assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …