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

Author

Listed:
  • 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.

Suggested Citation

  • Carlos Forner Rodríguez & Joaquín Marhuenda Fructuoso, 2006. "Análisis del origen de los beneficios del momentum en el mercado de valores español," Investigaciones Economicas, Fundación SEPI, vol. 30(3), pages 401-439, September.
  • Handle: RePEc:iec:inveco:v:30:y:2006:i:3:p:401-439
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    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 Stock," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.

    More about this item

    Keywords

    Momentum; eficiencia del mercado; infra-reacción.;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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