A Test of a Two-Factor APT Based on the Quadratic Market Model: International Evidence

R D Brooks and Robert Faff

Studies in Economics and Econometrics, 1998, vol. 22, issue 2, 65-76

Abstract: This paper presents tests of Barone-Adesi’s (1985) two-factor APT, based on a restricted quadratic market model (QMM), using the Morgan Stanley country index monthly data over the sample period 1970 to 1994. Our results show that the unrestricted QMM can be rejected in favour of the two-factor APT.

Date: 1998
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DOI: 10.1080/03796205.1998.12129125

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