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Comment: A Test of Stone's Two-Index Model of Returns

Published online by Cambridge University Press:  06 April 2009

N. Bulent Gultekin  and
Richard J. Rogalski
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Extract

In a recent paper Lloyd and Shick (LS) [4] report empirical results of tests of Stone's [7] two-factor model. Based on a sample of 60 banks and the 30 Dow Jones stocks, LS conclude that their findings generally support Stone's model. That is, an “interest rate risk” proxy appears to explain an additional portion of the variability of the sampled security returns over and above the variability due to an equity market proxy.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 629 - 639
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

REFERENCES

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