NBER WORKING PAPER SERIES CONDITIONAL MEAN-VARIANCE EFFICIENCY OF THE U.S. STOCK MARKET Charles Engel Jeffrey A. Frankel Kenneth A. Froot Anthony Rodriguez Working Paper No. 2890 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 March 1989 We thank the Alfred P. Sloan Foundation and the Olin Foundation for generous research support. All errors are our own. This paper is part of NEER's research program in Financial Markets and Monetary Economics. The views expreesed here are those of the authors and do not necessarily reflect those of the Federsl Reserve Bank of New York, the Federel Reserve System, or the National Bureau of Economic Research.