Modelli di equilibrio e fondamentali d'impresa nell'area dell'Euro

The study reviews financial literature on equity pricing and the empirical evidence of stocks returns in different geographical areas all over the world (with specific regard to Europe and United States). More specifically the study utilizes the Fama and French three-factor models (1992) implementing it with some further control variables such as corporate productivity and governance. The empirical analysis is focused on the stock returns from January, 1st 1996 to December 31st, 2006 of 1,058 listed industrial companies of European countries that initially joined the euro currency, with the exception of Luxembourg. The analysis of the sample, which on average represents more than 50% of the total capitalization of the analyzed countries, shows interesting relations between control variables and stock returns, both on the total sample and in the different portfolios in which the sample has been split, according to the corporations size. In particular the study shows a positive and statistically significant connection between stock returns and the indexes of productivity and governance. This research gives an innovative perspective about the determinants of stocks returns on a sample encompassing countries with the same currency, but with significantly different economical and political systems.