Anthony P. Rodrigues
Federal Reserve Bank of New York
NBER Working Papers and Publications
|March 1993||The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market|
with Charles Engel, Jeffrey A. Frankel, Kenneth A. Froot: w4294
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.
Published: revised as: "Tests of Conditional Mean-Variance Efficiency of the US Stock Market," Journal of Empirical Finance, vol 2, March 1995.
|March 1989||Conditional Mean-Variance Efficiency of the U.S. Stock Market|
with Charles Engel, Jeffrey A. Frankel, Kenneth A. Froot: w2890
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.
Published: Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1995. "Tests of conditional mean-variance efficiency of the U.S. stock market," Journal of Empirical Finance, vol 2(1), pages 3-18.
|July 1987||Tests of International CAPM with Time-Varying Covariances|
with Charles Engel: w2303
We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies of the assets (government obligations of France, Germany, Italy, Japan, the U.K. and the U.S.) change over time, and so do the conditional covariances of returns on these assets. We let the covariances change over time as a function of macroeconomic data. We also estimate the model when the covariances follow a multivariate ARCH process. When the covariance of forecast errors are time-varying, we can identify a modified CAFM model with measurement error -- which we also estimate. We find that the model in which the CAPM restrictions are im...
Published: Journal of Applied Econometrics, Volume 4, April-June 1989, 119-138 citation courtesy of
|October 1986||A Test of International CAPM|
with Charles Engel: w2054
We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM.
Published: "Tests of Mean-Variance Efficiency of International Equity Markets" Oxford Economic Papers, vol 45, (July 1993) p. 403-421