The asymptotic behavior of the sample paths of two popular statistics that test market efficiency are investigated when markets learn to have rational expectations. Two cases are investigated, where, should markets start out at a rational expectations equilibrium, both statistics would...

We propose a new way of testing the mean-variance efficiency of well-diversified portfolios on large cross-sections of extremely short return histories. The methodology consists of a sequence of simple tests, the results of which are aggregated in a statistic. This statistic is shown to be...

We report on two sets of large-scale financial markets experiments that were designed to test the central proposition of modern asset pricing theory, namely, that risk premia are solely determined by covariance with aggregate risk. We analyze the pricing within the framework suggested by two...