Firm size and the Italian Stock Exchange

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.

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Year of publication:	1999
Authors:	Cavaliere, Guiseppe ; Costa, Michele
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 6.1999, 11, p. 729-734
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009202680