Tests of Structural Stability of Risk Premia and Returns Relationship
AbstractThis paper introduces recursive Fama and MacBeth tests to assess the intertemporal significance and pervasiveness of macroeconomic factors and firm-specific characteristics in explaining the cross-section variation of expected returns in a dynamically changing stok market such as the Athens Stock Exchange. It is shown that the significance of both categories of factors depends on the changes in the macroeconomic conditions which occured during the sample period, altering the stock market's perception.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9712.
Length: 24 pages
Date of creation: 1997
Date of revision:
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- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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