TY - JOUR
T1 - Testing a two-factor APT model on Australian industry equity portfolios: The effect of intervaling
AU - Josev, T.
AU - Brooks, R. D.
AU - Faff, R. W.
PY - 2001
Y1 - 2001
N2 - The finance literature is replete with studies using the market model (MM) and the quadratic market model (QMM) as the return generating model. An alternative model, using the quadratic market model framework, was adopted by Barone-Adesi (1985) to test a two-factor APT model related to the Three-moment CAPM. While the effect of intervaling on the standard market model has been well documented in the literature, evidence for these other models does not exist. Accordingly, this paper tests these three models on 23 Australian Industry Equity portfolios using daily, weekly and monthly return intervals, over the sample period January 1988 to October 1996. The results favour the APT model relative to the unrestricted MM and QMM models. These findings are robust to the return intervals used.
AB - The finance literature is replete with studies using the market model (MM) and the quadratic market model (QMM) as the return generating model. An alternative model, using the quadratic market model framework, was adopted by Barone-Adesi (1985) to test a two-factor APT model related to the Three-moment CAPM. While the effect of intervaling on the standard market model has been well documented in the literature, evidence for these other models does not exist. Accordingly, this paper tests these three models on 23 Australian Industry Equity portfolios using daily, weekly and monthly return intervals, over the sample period January 1988 to October 1996. The results favour the APT model relative to the unrestricted MM and QMM models. These findings are robust to the return intervals used.
UR - http://www.scopus.com/inward/record.url?scp=0035085586&partnerID=8YFLogxK
U2 - 10.1080/096031001750071541
DO - 10.1080/096031001750071541
M3 - Article
AN - SCOPUS:0035085586
SN - 0960-3107
VL - 11
SP - 157
EP - 163
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 2
ER -