This paper constitutes a different approach concerning the time varying risk premium for the stocks traded on the Athens Stock Exchange. The research methodology utilises two well known empirical findings; the time varying beta risk (eg. Merton (1973), Ng (1991), Fama, French (1988)), and the...

This paper analyzes the long-run dynamic relationship between black and official exchange rates for four Latin America namely, Argentina, Brazil, Chile and Mexico over the period 1971-1993. We apply Johansen's (1992a, 1995, 1997) recent methodology to the joint hypothesis of cointegration rank...

This paper derives three multi-factor risk-return relationships each of which employs macro-economic variables in presenting the underlying factors that influence security returns. The first relationship holds if the underlying portfolio lies on the expected return-standard deviation efficient...