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Comment: A Test of Stone's Two-Index Model of Returns
Published online by Cambridge University Press: 06 April 2009
Extract
In a recent article Lloyd and Shick [3] examined a two-index model of bank stock returns with interest rates as the extra-market source of covariance. Based on their findings, the authors were optimistic that the inclusion of an interest rate index would prove to be worthwhile in market model regressions. The purpose of this comment is to question their conclusions by pointing out some specific deficiencies concerning their data, the statistical tests, and their interpretation of the results.
- Type
- Research Article
- Information
- Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 641 - 644
- Copyright
- Copyright © School of Business Administration, University of Washington 1979
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