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...

We investigate the impact of the Morgan Stanley Capital International change in index calculation on Australian stocks. We are able to differentiate between a downward sloping demand curve hypothesis and the investor awareness hypothesis. Broadly speaking, the results are consistent with...