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

  • Carlos Forner Rodríguez

    (Universidad de Alicante)

  • Joaquín Marhuenda Fructuoso

    (Universidad de Alicante)

Registered author(s):

    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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    Article provided by Fundación SEPI in its journal Investigaciones Económicas.

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

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    Handle: RePEc:iec:inveco:v:30:y:2006:i:3:p:401-439
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