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

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Author Info
Carlos Forner Rodríguez (Universidad de Alicante)
Joaquín Marhuenda Fructuoso (Universidad de Alicante)
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.

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File URL: ftp://ftp.funep.es/InvEcon/paperArchive/Sep2006/v30i3a1.pdf
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Publisher Info
Article provided by Fundación SEPI in its journal Investigaciones Económicas.

Volume (Year): 30 (2006)
Issue (Month): 3 (September)
Pages: 401-439
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:iec:inveco:v:30:y:2006:i:3:p:401-439

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Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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Related research
Keywords: Momentum; eficiencia del mercado; infra-reacción.;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2010-1-2.

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