Macroeconomic factors and stock returns in a changing economic framework: the case of the Athens stock exchange

Abstract

Outlines previous research on the capital asset pricing model and its extensions; and fluctuations in the Greek economy and capital market between 1980 and 1992. Develops a mathematical, multi‐factor, risk‐return model and applies it to Greek data for this period, split into two sub‐periods: 1980‐1986 and 1986‐1992. Identifies and discusses the m ost important macrovariables influencing security returns for both periods. Concludes that the model does capture the features of a changing economic environment and links risk premia to macroeconomic factors, although it lacks intertemporal stability.

Citation

Diacogiamnis, G.P., Tsiritakis, E.D. and Manolas, G.A. (2001), "Macroeconomic factors and stock returns in a changing economic framework: the case of the Athens stock exchange", Managerial Finance, Vol. 27 No. 6, pp. 23-41. https://doi.org/10.1108/03074350110767213