Pandey, Asheesh; Mittal, Anand; Mittal, Arjun - In: Cogent economics & finance 9 (2021) 1, pp. 1-15
employ prominent asset pricing models to ascertain if size anomaly in our sample countries passes the risk story. We find … single-factor model i.e.capital asset pricing model to be still relevant in explaining size anomaly for Spain and Italy. We … find FF3 factor model to be a suitable model to be explain for alphas in Germany, while we find that none of the asset …