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On the robustness of Fama and French Model: evidence from Italy

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  • Antonella Silvestri
  • Stefania Veltri

Abstract

The purpose of this the article is to investigate if the Fama and French three-factor model is able to explain the variations in stock returns in Italian market. We choose Italian market as it is a weak equity market, characterized by small listed firms. Asset pricing literature believes that risk factors additional to beta are as more relevant as the market are smaller one, as in these contexts, beta differences are not able to explain return differences. We choose to achieve this aim through the tool of the literature review. In the sample of studies investigated, the relation between size and yield holds, while the empirical evidence related to the book-to-market ratio are mixed.

Suggested Citation

  • Antonella Silvestri & Stefania Veltri, 2011. "On the robustness of Fama and French Model: evidence from Italy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 1(4), pages 1-9.
    • Handle: RePEc:spt:apfiba:v:1:y:2011:i:4:f:1_4_9
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    Cited by:

    1. Anna Pirogova & Antonio Roma, 2020. "Performance of value‐ and size‐based strategies in the Italian stock market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(1), February.

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