Article | Journal of Empirical Finance | March 1995

Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market

by C. Engel, J. Frankel, Kenneth A. Froot and T. Rodrigues

Keywords: asset pricing; international finance; risk aversion; risk; international investing; behavioral finance; CAPM; capital asset pricing; International Finance; Risk and Uncertainty; Asset Pricing; Financial Markets; Foreign Direct Investment; Behavioral Finance; United States;

Citation:

Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER Working Paper Nos. 2890, March 1989 and 4292, March 1993, "Conditional Mean-Variance Efficiency of the U.S. Stock Market," March 1993.)