Structural Changes in Expected Stock Returns Relationships: Evidence from Ase

19 Pages Posted: 7 Dec 2006

See all articles by Evangelos Karanikas

Evangelos Karanikas

HSBC Pantelakis Securities

George N. Leledakis

Athens University of Economics and Business - Department of Accounting and Finance

Elias Tzavalis

University of London - Queen Mary - Department of Economics

Abstract

This paper suggests a recursive application of Fama and MacBeth's (1973) testing procedure to assess the significance of macroeconomic factors and firm-specific effects priced in explaining the cross-sectional variation of expected stock returns over time. The paper applies the suggested testing procedure to investigate the source of risks of the Athens Stock Exchange (ASE). Among the variables examined, it finds out that the changes in the short term interest rates and firm size can explain a significant proportion of the variation of the ASE individual returns. The paper argues that the significance of interest rate changes can be associated with monetary policy changes introduced by the Greek authorities after the mid-nineties. These changes were focused on targeting interest rates, instead of monetary aggregates.

Suggested Citation

Karanikas, Evangelos and Leledakis, George N. and Tzavalis, Elias, Structural Changes in Expected Stock Returns Relationships: Evidence from Ase. Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1610-1628, November/December 2006. Available at SSRN: https://ssrn.com/abstract=950060 or http://dx.doi.org/10.1111/j.1468-5957.2006.00656.x

Evangelos Karanikas

HSBC Pantelakis Securities

109-111 Messogion Ave
Athens, 115 26
Greece

HOME PAGE: http://www.hsbc.gr/en/about/locations .htm

George N. Leledakis

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece
+30 210 8203 459 (Phone)
+30 210 8228 816 (Fax)

HOME PAGE: http://www.aueb.gr/en/faculty_page/leledakis-georgios

Elias Tzavalis (Contact Author)

University of London - Queen Mary - Department of Economics ( email )

Mile End Road
London, E1 4NS
United Kingdom

HOME PAGE: http//www.qmw.ac.uk/~ugte184/

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