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.
Cavaliere G., Costa M. (1999). Firm size and the Italian Stock Exchange. APPLIED ECONOMICS LETTERS, 6(11), 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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