Three Factors, Interest Rate Differentials and Stock Groups

Abstract

The Journal of FinanceVolume 36, Issue 2 p. 323-335 Empirical Tests of Multi-Factor Pricing Model Three Factors, Interest Rate Differentials and Stock Groups H. RUSSELL FOGLER, H. RUSSELL FOGLERSearch for more papers by this authorROSE JOHN, ROSE JOHNSearch for more papers by this authorJAMES TIPTON, JAMES TIPTON The authors are from the University of Florida, New York University and Baylor University, respectively. We wish to thank the Frank Russell Company for intellectual impetus and financial assistance for the present study, Dr. Martin Leibowitz of Salomon Brothers for yield series data, Haim Levy and others in the Florida Workshop for suggestions, and Richard Roll for his comments. Of course, these groups are absolved from any limitations of this study. Russell Fogler acknowledges computing support from the University of Florida. Kose John received support from a Faculty Research Grant from the Graduate School of Business Administration, New York University.Search for more papers by this author H. RUSSELL FOGLER, H. RUSSELL FOGLERSearch for more papers by this authorROSE JOHN, ROSE JOHNSearch for more papers by this authorJAMES TIPTON, JAMES TIPTON The authors are from the University of Florida, New York University and Baylor University, respectively. We wish to thank the Frank Russell Company for intellectual impetus and financial assistance for the present study, Dr. Martin Leibowitz of Salomon Brothers for yield series data, Haim Levy and others in the Florida Workshop for suggestions, and Richard Roll for his comments. Of course, these groups are absolved from any limitations of this study. Russell Fogler acknowledges computing support from the University of Florida. Kose John received support from a Faculty Research Grant from the Graduate School of Business Administration, New York University.Search for more papers by this author First published: May 1981 https://doi.org/10.1111/j.1540-6261.1981.tb00445.xCitations: 24 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume36, Issue2May 1981Pages 323-335 RelatedInformation