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.File in questo prodotto:
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