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Firm size and the Italian Stock Exchange

Giuseppe Cavaliere () and Michele Costa ()

Applied Economics Letters, 1999, vol. 6, issue 11, 729-734

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.

Date: 1999
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DOI: 10.1080/135048599352303

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