EconPapers    
Economics at your fingertips  
 

The Pricing of Italian Equity Returns

Annalisa Aleati, Pietro Gottardo and Maurizio Murgia ()

Economic Notes, 2000, vol. 29, issue 2, 153-177

Abstract: type="main" xml:lang="en"> In this paper, we investigate the relationship between common risk factors and average returns for Italian stocks. Our research has identified the Italian stock market's economic variables by using the results from factor analyses and time series regressions. We study several multi-factor models combining the relevant macroeconomic variables with the mimicking equity portfolios SMB (small minus big) and HML (high minus low) proposed by Fama and French (1993). The key question we want to ask ourselves, is whether the influential role of the size and book-to-market equity factors in explaining average stock returns can stand up well when competing with some macroeconomic factors. In other words, do stock returns carry some risk premium that is independent of either the market return or the economic forces that underlie the common variation in returns? Our empirical work estimates risk premiums using both traditional two-pass procedures and one-pass (full information) methodologies. We show that only the market index and variables linked to interest rate shifts are consistently priced in the Italian stock returns. The role of other factors, and in particular both the size and the price-to book ratio, are crucially dependent on the estimation procedure. (J.E.L.: G11, G12).

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1111/1468-0300.00028 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:ecnote:v:29:y:2000:i:2:p:153-177

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0391-5026

Access Statistics for this article

More articles in Economic Notes from Banca Monte dei Paschi di Siena SpA
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-16
Handle: RePEc:bla:ecnote:v:29:y:2000:i:2:p:153-177