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Tests of Structural Stability of Risk Premia and Returns Relationship

Author

Listed:
  • Tzavalis, E.
  • Karanikas, E.

Abstract

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.

Suggested Citation

  • Tzavalis, E. & Karanikas, E., 1997. "Tests of Structural Stability of Risk Premia and Returns Relationship," Discussion Papers 9712, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9712
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    More about this item

    Keywords

    FINANCIAL MARKET ; INFORMATION;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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