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Riesgo asimétrico y estrategias de momentum en el mercado de valores español

  • Luis Muga

    (Universidad Pública de Navarra)

  • Rafael Santamaría

    (Universidad Pública de Navarra)

En el presente trabajo se analiza el papel del riesgo asimétrico en la explicación del efecto momentum en el mercado de valores español. Inicialmente se ha observado una relación negativa y significativa entre la coasimetría de una cartera y su rentabilidad. Por este motivo se ha incluido un factor ligado a dicha medida, SKS, en los modelos tradicionales de valoración (CAPM y Fama-French). Los resultados indican que las estrategias de momentum están expuestas de forma positiva y significativa a este tipo de riesgo. Sin embargo, dicho factor de riesgo no es capaz de explicar por completo las rentabilidades anormales de este tipo de estrategias, por lo que el debate sobre el efecto momentum todavía permanece abierto.

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Article provided by Fundación SEPI in its journal Investigaciones Económicas.

Volume (Year): 31 (2007)
Issue (Month): 2 (May)
Pages: 323-340

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Handle: RePEc:iec:inveco:v:31:y:2007:i:2:p:323-340
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