| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2890 |
| 来源ID | Working Paper 2890 |
| Conditional Mean-Variance Efficiency of the U.S. Stock Market | |
| Charles Engel; Jeffrey A. Frankel; Kenneth A. Froot; Anthony P. Rodrigues | |
| 发表日期 | 1989-03-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH process. The data estimate reasonably the coefficient of relative risk aversion, though are unable to reject investor risk neutrality. We reject the restrictions implied by MVE, although changing conditional variances improve statistically upon measured market efficiency. We find that unrestricted asset-share and ARCH models help forecast excess returns. Once MVE is imposed, however, this forecasting ability disappears. |
| URL | https://www.nber.org/papers/w2890 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560159 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Jeffrey A. Frankel,Kenneth A. Froot,et al. Conditional Mean-Variance Efficiency of the U.S. Stock Market. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2890.pdf（495KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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