Economics at your fingertips  


Stefano d'Addona (), Paola Brighi () and Antonio Carlo Francesco Della Bina

No 911, Working Papers from CREI Università degli Studi Roma Tre

Abstract: We study the pricing factor structure of Italian equity returns. Using 25 years of data, we focus on a classical four factors model. A two step empirical analysis is provided where first we estimate an unrestricted multi-factor model to test if there is any evidence of misspecification. Then, we estimate the restricted model through the Generalized Methods of Moments (GMM). We find that the market premium and the size premium for stocks are confirmed for a domestic Italian investor. On the contrary, weak evidence is found for the value premium. Finally, we highlight, that augmenting the model with a momentum factor may at least partially improve its performance.

Keywords: Fama-French factors; GMM; Asset Pricing; Carhart model (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2011, Revised 2011
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... 011/CREI_09_2011.pdf First version, 2011 (application/pdf)

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:

Access Statistics for this paper

More papers in Working Papers from CREI Università degli Studi Roma Tre Contact information at EDIRC.
Bibliographic data for series maintained by Francesca Vaino ().

Page updated 2019-02-18
Handle: RePEc:rcr:wpaper:09_11