We study the pricing factor structure of the Italian equity market. Using a Generalized Methods of Moments (GMM) estimation, we find evidence in favour of the market and the size premium. On the contrary, according to our asset pricing tests, weak evidence is found for the value premium. Finally, we highlight that augmenting the model with a momentum factor does not improve its performance.
Titolo: | Too small or too low? New evidence of the 4-factor model | |
Autore/i: | BRIGHI, PAOLA; S. d’Addona; DELLA BINA, ANTONIO CARLO FRANCESCO | |
Autore/i Unibo: | ||
Anno: | 2012 | |
Titolo del libro: | Modern Bank Behavior | |
Pagina iniziale: | 176 | |
Pagina finale: | 199 | |
Abstract: | We study the pricing factor structure of the Italian equity market. Using a Generalized Methods of Moments (GMM) estimation, we find evidence in favour of the market and the size premium. On the contrary, according to our asset pricing tests, weak evidence is found for the value premium. Finally, we highlight that augmenting the model with a momentum factor does not improve its performance. | |
Data prodotto definitivo in UGOV: | 26-giu-2013 | |
Data stato definitivo: | 17-gen-2016 | |
Appare nelle tipologie: | 2.01 Capitolo / saggio in libro |
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