The presence of a relation between firm size and asset returns is investigated by referring to the Italian Stock Exchange. In order to explain asset return variability, the excess return on a market portfolio as well as the difference between the return on a portfolio of small stocks and the return on a portfolio of large stocks are considered. The resultant two-factor model seems to improve the explanation of the returns of the portfolios formed on size.
Firm size and the Italian Stock Exchange / Cavaliere G.; Costa M.. - In: APPLIED ECONOMICS LETTERS. - ISSN 1350-4851. - STAMPA. - 6:11(1999), pp. 729-734. [10.1080/135048599352303]
Firm size and the Italian Stock Exchange
Cavaliere G.;Costa M.
1999
Abstract
The presence of a relation between firm size and asset returns is investigated by referring to the Italian Stock Exchange. In order to explain asset return variability, the excess return on a market portfolio as well as the difference between the return on a portfolio of small stocks and the return on a portfolio of large stocks are considered. The resultant two-factor model seems to improve the explanation of the returns of the portfolios formed on size.File in questo prodotto:
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