This article examines the return characteristics of a portfolio of U.S. “vice stocks,” those of firms that manufacture and sell socially irresponsible products such as alcohol, tobacco, gaming and national defense services. First of all, I construct a portfolio using the daily returns of...

We study the pricing factor structure of Italian equity returns. Using 25 years of data, we focus on a classical four factors model. A two step empirical analysis is provided where first we estimate an unrestricted multi-factor model to test if there is any evidence of misspecification. Then, we...

We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations,...