Advanced Search
MyIDEAS: Login

Análisis del origen de los beneficios del momentum en el mercado de valores español

Contents:

Author Info

  • Carlos Forner Rodríguez

    (Universidad de Alicante)

  • Joaquín Marhuenda Fructuoso

    (Universidad de Alicante)

Registered author(s):

    Abstract

    El objetivo de este trabajo es analizar con detalle las posibles fuentes que pueden estar ocasionando el efecto momentum en el mercado español. Consistente con la evidencia obtenida en otros mercados, la estrategia de momentum proporciona importantes beneficios que no pueden ser explicados ni por la dispersión en la sección cruzada de las rentabilidades esperadas ni por una autocorrelación positiva en el/los factor/es que genera/n las rentabilidades. El origen de dicho fenómeno parece estar más bien en una autocorrelación positiva en el componente específico de las rentabilidades, lo cual cuestionaría seriamente la hipótesis de eficiencia del mercado.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: ftp://ftp.fundacionsepi.es/InvEcon/paperArchive/Sep2006/v30i3a1.pdf
    File Function: Full text
    Download Restriction: no

    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Económicas.

    Volume (Year): 30 (2006)
    Issue (Month): 3 (September)
    Pages: 401-439

    as in new window
    Handle: RePEc:iec:inveco:v:30:y:2006:i:3:p:401-439

    Contact details of provider:
    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
    Email:
    Web page: http://www.fundacionsepi.es/

    Order Information:
    Email:
    Web: http://www.fundacionsepi.es/revistas/presentacion.asp

    Related research

    Keywords: Momentum; eficiencia del mercado; infra-reacción.;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Grau-Grau, Alfredo Juan, 2014. "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish St," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:iec:inveco:v:30:y:2006:i:3:p:401-439. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Isabel Sánchez-Seco).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.