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Firm size and the Italian Stock Exchange

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  • Guiseppe Cavaliere
  • Michele Costa

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.

Suggested Citation

  • Guiseppe Cavaliere & Michele Costa, 1999. "Firm size and the Italian Stock Exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 6(11), pages 729-734.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:11:p:729-734
    DOI: 10.1080/135048599352303
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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.
    2. Filippo Vitolla & Antonio Salvi & Nicola Raimo & Felice Petruzzella & Michele Rubino, 2020. "The impact on the cost of equity capital in the effects of integrated reporting quality," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 519-529, February.
    3. Romilda Mazzotta & Stefania Veltri, 2014. "The relationship between corporate governance and the cost of equity capital. Evidence from the Italian stock exchange," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 18(2), pages 419-448, May.
    4. Antonella Silvestri & Stefania Veltri, 2012. "A Test Of The Ohlson Model On The Italian Stock Exchange," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 83-94.

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