Multi-factor Risk-return Relationships |
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| Authors: | George P. Diacogiannis,& Panayiotis F. Diamandis |
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| Affiliation: | Associate Professor in Finance, Department of Banking and Financial Management, University of Piraeus, Greece,;Adjunct Assistant Professor in Investment Appraisal, University of Thessaly, Greece |
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| Abstract: | 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 frontier, the second is valid when the underlying portfolio lies inside the efficient frontier and the third characterises security markets in which no arbitrage opportunities are present. An attempt is also made to appraise critically previous multi-factor risk-return relationships which rely on an expected return-standard deviation approach. |
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| Keywords: | risk-return relationships macro-economic variables security returns efficient frontier |
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