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Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?

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  • Carlos Forner

    ()
    (Universidad de Alicante)

  • Joaquín Marhuenda

    (Universidad de Alicante)

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    Abstract

    Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not be explained neither by the CAPM nor the Fama&French (1993) threefactor model. The aim of this paper is to deepen in the possible explanations of such phenomenon byanalyzing two new items. In the first part, the possibility that the momentum profits were therecompense for bearing some kind of risk not incorporated in this two models has been studied. Giventhe failure of this first approach, in the second part, the behavioural models of Daniel et al. (1998) andHong and Stein (1999) have been tested, by facing the momentum profits to the size, book-to-marketand analyst coverage characteristics. While the results show that the momentum profits focus on smallstocks, restrictions in the data hinder to obtain conclusive results regarding the validity of these twomodels in explaining the Spanish momentum. La evidencia previa en el mercado español ha puesto de manifiesto la existencia de un efecto momentum robusto ante ajustes tanto por CAPM como por el modelo de tres factores de Fama y French (1993). Este trabajo trata de ahondar en las posibles explicaciones de dicho fenómeno analizando dos nuevos aspectos. En una primera parte se estudia la posibilidad de que los beneficios del momentum sean consecuencia de la incorrecta especificación del modelo de valoración utilizado. Dada la dificultad de explicar los beneficios del momentum en base a esta alternativa, en una segunda parte se contrastan los modelos conductistas de Daniel et al. (1998) y Hong y Stein (1999), enfrentando los beneficios del momentum ante las características de tamaño, ratio book-to-market y cobertura de analistas. Si bien se obtiene que los beneficios del momentum se concentran en títulos de baja capitalización, limitaciones en la muestra impiden obtener resultados concluyentes en relación a la validez de estos modelos.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2004-20.pdf
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2004-20.

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    Length: 50 pages
    Date of creation: Oct 2004
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2004-20

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    Keywords: momentum; factores de riesgo; modelos conductistas momentum; risk factors; behavioural models;

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