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Original Articles

Firm size and the Italian Stock Exchange

Pages 729-734 | Published online: 06 Oct 2010
 

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.

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