Publications
Publications
- March 1995
- Journal of Empirical Finance
Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market
By: C. Engel, J. Frankel, Kenneth A. Froot and T. Rodrigues
Keywords
Risk Aversion; Risk; International Investing; 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.)