| Article ID: | iaor200136 |
| Country: | South Africa |
| Volume: | 22 |
| Issue: | 2 |
| Start Page Number: | 65 |
| End Page Number: | 76 |
| Publication Date: | Jan 1998 |
| Journal: | International Studies In Economics and Econometrics |
| Authors: | Faff R.W., Brooks R.D. |
| Keywords: | finance & banking |
This paper presents tests of Barone-Adesi's two-factor arbitrage pricing theory (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.