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

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  • Gultekin, N. Bulent
  • Rogalski, Richard J.

Abstract

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.

Suggested Citation

  • Gultekin, N. Bulent & Rogalski, Richard J., 1979. "Comment: A Test of Stone's Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 629-639, September.
    • Handle: RePEc:cup:jfinqa:v:14:y:1979:i:03:p:629-639_00
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    1. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.

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