The purpose of this the article is to investigate if the Fama and French three-factormodel is able to explain the variations in stock returns in Italian market. Wechoose Italian market as it is a weak equity market, characterized by small listedfirms. Asset pricing literature believes that risk factors additional to beta are asmore relevant as the market are smaller one, as in these contexts, beta differencesare not able to explain return differences. We choose to achieve this aim throughthe tool of the literature review. In the sample of studies investigated, the relationbetween size and yield holds, while the empirical evidence related to the book-to-market ratio are mixed
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