| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4294 |
| 来源ID | Working Paper 4294 |
| The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market | |
| Charles Engel; Jeffrey A. Frankel; Kenneth A. Froot; Anthony P. Rodrigues | |
| 发表日期 | 1993-03-01 |
| 出版年 | 1993 |
| 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 relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with most tests of MVE. we can put an explicit interpretation on the alternative hypothesis -- a general linear Tobin portfolio choice model. We reject the restrictions implied by MVE. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4294 |
| 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/561656 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Jeffrey A. Frankel,Kenneth A. Froot,et al. The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market. 1993. |
| 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 | ||
| w4294.pdf（1737KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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