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

N. Bulent Gultekin and Richard J. Rogalski

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 3, 629-639

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.

Date: 1979
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