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.

P. Brighi, S. d’Addona, A. Della Bina (2012). Too small or too low? New evidence of the 4-factor model. LONDON : Palgrave.

Too small or too low? New evidence of the 4-factor model

BRIGHI, PAOLA;DELLA BINA, ANTONIO CARLO FRANCESCO
2012

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.
2012
Modern Bank Behavior
176
199
P. Brighi, S. d’Addona, A. Della Bina (2012). Too small or too low? New evidence of the 4-factor model. LONDON : Palgrave.
P. Brighi; S. d’Addona; A. Della Bina
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/115827
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