This paper investigates the performance of size‐ and value‐based strategies in the Italian stock market in the period 2000–2018. Previous research argued the impossibility to define properly value‐sorted portfolios due to the inaccuracy of book‐to‐market ratios available for Italian listed stocks. Using more accurate data, we implement portfolios sorting based on value and growth stocks, to assess the relevance of the value factor in the Italian stock market. We find that the capital asset pricing model fails to explain the cross‐section of returns on the different strategies while the Fama and French three‐factor model provides a better fit. The results show that all three factors are significant in explaining Italian stock returns during the sample period. Unlike previous studies, which either found no value effect at all or no clear‐cut results when testing the book‐to‐market variable, we find that the value factor is statistically significant and the associated risk premium is of a considerable size.

中文翻译：

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基于价值和规模的策略在意大利股票市场中的表现

本文调查了2000-2018年期间基于规模和价值的策略在意大利股票市场中的表现。先前的研究认为，由于意大利上市股票的账面市价比不准确，因此无法定义正确的价值分类投资组合。我们使用更准确的数据，根据价值和成长型股票进行投资组合分类，以评估价值因子在意大利股票市场中的相关性。我们发现，资本资产定价模型无法解释不同策略的收益横​​截面，而Fama和法国三因素模型则提供了更好的拟合。结果表明，所有三个因素对于解释样本期内意大利的股票收益都很重要。与以前的研究不同，