Tests of Structural Stability of Risk Premia and Returns Relationship
This 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:exe:wpaper:9712. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carlos Cortinhas)
If references are entirely missing, you can add them using this form.