We study the pricing factor structure of Italian equity returns using 25 years of data. A two-step empirical analysis is provided where first we estimate an unrestricted multifactor model to test if there is any evidence of misspecification. Then, we estimate the restricted model through the...

The aim of this paper is to study the pricing factor structure of Italian equity returns. Using twenty-five years of data, we focus on the role of other risk factors besides the market beta, namely size, book to market, and momentum. A two step empirical analysis is provided where first we...

Using a large sample of Italian banks over the period 2006-2009, this paper provides new evidence for the effect of the geographic distance between bank's headquarters and its branches; and furthermore for firm's characteristics, such as diversification strategies, risk exposure, ability to...