Tests of Structural Stability of Risk Premia and Returns Relationship

Elias Tzavalis and E. Karanikas

Discussion Papers from University of Exeter, Department of Economics

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.

Keywords: FINANCIAL MARKET; INFORMATION (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9712

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