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.
Too small or too low? New evidence of the 4-factor model / P. Brighi, D. S., A.C.F. Della Bina - In: Modern Bank Behavior / [a cura di] J.M. Pastor Monsálvez, J.F. Guevara Radoselovics. - London : Palgrave, 2013. - ISBN 9781137001856. - pp. 176-199 [10.1057/9781137001863_10]
Too small or too low? New evidence of the 4-factor model
P. Brighi;
2013
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.
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