29
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Los factores tamaño, book-to-market y momentum en el mercado de capitales español: explicaciones racionales y efecto en la formación del precio

Size, Book-to-Market and Momentum Factors in the Spanish Stock Market: Rational Explanations and Stock Pricing

&
Pages 509-535 | Received 15 Mar 2006, Accepted 11 Nov 2006, Published online: 15 Jan 2014

BIBLIOGRAFÍA

  • Adrián, T., y Franzoni, F. [2002]: «Learning about Beta: An Explanation of the Value Premium», Working Paper, MIT.
  • Ang, A., y Chen, J. [2002]: «CAPM Over the Long-run: 1926–2001», Working Paper, Columbia Business School.
  • Banz, R. [1981]: «The Relationship Between Return and Market Value Common Stocks», Journal of Financial Econimics, 9, 33–18.
  • Barberis, N.; Shleifer, A., y Vishny, R. [1998]: «A Model of Investor Sentiment», Journal of Financial Economics, 49, 307–343.
  • Berk, J. B.; Green, R. C., y Naik, V. [1999]: «Optimal Investment, Growth Options, and Security Returns», Journal of Finance, 54(5), 1.553–1.607.
  • Brown, R.; Durbin, J., y Evans, J. [1975]: «Techniques for Testing the Constancy of Regression Relationships over Time, with Comments», Journal of the Royal Statistical Society, 37, 2, 149–163.
  • Chan, K. C.; Karolyi, G. A., y Stulz, R. M. [1992]: «Global Financial Markets and the Risk Premium on U.S. Equity», Journal of Financial Economics, 32, 137–168.
  • Chordia, T., y Shivakumar, L. [2002]: «Momentum, Business Cycle, and Time-varying Expected Returns», Journal of Finance, 57(2), 985–1.019.
  • Cochrane, J. H. [1996]: «? Cross-Sectional Test of an Investment based Asset Pricing Models», Journal of Political Economy, 104, 572–621.
  • Conrad, J.; Gultekin, M. N., y Kaul, G. [1991]: «Asymmetric Predictability of Condicional Variances», The Review of Financial Studies, 4, 597–622.
  • Conrad, J., y Kaul, G. [1998]: «An Anatomy of Trading Strategies», The Review of Financial Studies, 11(3), 489–519.
  • Debondt, W., y Thaler, R. [1985]: «Does the Stock Market Overreact», The Journal of Finance, 40, 3, julio, 793–805.
  • Daniel, K., Hirshleifer, D., y Subrahmanyam, A. [1998]: «Investor Psychology and Security Market Under- and Overreactions», Journal of Finance, 53, 1.839–1.886.
  • Fama, E. F,. y French, K. R. [1992]: «The Cross-Section of Expected Stocks Returns», The Journal of Finance, 47, 427–465.
  • Fama, E. F., y French, K. R. [1993]: «Common Risk Factors in the Returns on Stoks and Bonds», Journal of Financial Economics, 33, 1, 3–56.
  • Fama, E. F., y French, K. R. [1995]: «Size and Book-to-Market Factors in Earnings and Returns», Journal of Finance, 50, 131–155.
  • Fama, E. F., y French, K. R. [1996]: «Multifactor Explanations for Asset Pricing Anomalies», Journal of Finance, 51, 55–84.
  • Fama, E. F., y French, K. R. [1998]: «Value versus Growth: The International Evidence», Journal of Finance, 53(6), 1975–1999.
  • Fama, E. F., y Macbeth, J. D. [1973]: «Risk, Return, and Equilibrium: Empirical Tests», Journal of Political Economy, 81, 607–636.
  • Ferson, W. E., y Harvey, C. R. [1991]: «The Variation of Economic Risk Premiums», Journal of Political Economics, 99, 385–415.
  • Ferson, W. E., y Harvey, C. R. [1999]: «Conditioning Variables and Cross-Section of Stock Returns», Journal of Finance, 54, 1.325–1.360.
  • Font, B., y Baixauli, S. [2001]: «Evidencias sobre Eficiencia en el Mercado de Capitales Español», Revista Europea e Dirección y Economía de la Empresa, 10, 135–166.
  • Font, B., y Grau, A. [2005]: «Contribución de los efectos tamaño, book-to-market y momentum a la valoración de activos: el caso español», FUNCAS, Documento de Trabajo n.° 210/2005.
  • Forner, C., y Marhuenda, J. [2003a]: «Contrarian and Momentum Strategies in the Spanish Stock Market», European Financial Management, 9, 67–88.
  • Forner, C., y Marhuenda, J. [2003b]: «El Efecto Momentum en el Mercado Español de Acciones», WP- EC 2003–14, IVIE.
  • Forner, C., y Marhuenda, J. [2004]: «Beneficios del Momentum en el Mercado Español: ¿Incorrecta Especificación de los Modelos de Valoración o Irracionalidad de los Inversores?», WP-EC 2004–20, IVIE.
  • French, K. R.; Schwert, G. W., y Stambaugh, R. F. [1987]: «Expected Stock Returns and Volatility», Journal of Financial Economics, 19, 3–29.
  • Gibbons, M. R., y Ferson, W. [1985]: «Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio», Journal of Financial Economics, 14, 217–236.
  • Giovannini, A., y Jorion, P. [1989]: «The Time Variation Risk and Return in the Foreign Exchange and Stock Markets», Journal of Finance, 44, 307–326.
  • Handa, P., Kothari, S. P., y Wasley, C. [1989]: «The Relation between the Return Interval and Betas: Implications for the Size Effect», Journal of Financial Economics, 23, 79–100.
  • Hawawini, G., y Keim, D. [1995]: «On the predictability of common stock returns: World-wide evidence», Handbook in Operations Research and Management Science, 9. Jarrow, R.; Maksimovic, V., y Ziemba, W. (Eds.) North-Holland.
  • Hong, H.; Lim, T., y Stein, J. [2000]: «Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies», Journal of Finance, 55, 265–295.
  • Hong, H., y Stein, J. [1999]: «A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets», Journal of Finance, 54, 2.143–2.184.
  • Jegadeesh, N., y Titman, S. [1993]: «Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency», Journal of Finance, 48, 65–91.
  • Jegadeesch, N., y Titman, S. [2001]: «Profitability of Momentum Strategies: An Evaluation of Alternative Explanations», Journal of Finance, 56, 699–720.
  • Johnson, T. C. [2002]: «Rational Momentum Effects», The Journal of Finance, 57(2), 585–608.
  • Levhari, D., y Levy, H. [1977]: «The Capital Asset Pricing Model and the Investment Horizon», Review of Economics and Statistics 59, 92–104.
  • Lewellen, J. [2002]: «Momentum and Autocorrelation in Stock Returns», The Review of Financial Studies, 15(2), 533–563.
  • Lewellen, J., y Nagel, S. [2006]: «The Conditional CAPM Does Not Explain Asset-Pricing Anomalies», Journal of Financial Economics, 82, 289–314.
  • Liew, J., y Vassalou, M. [2000]: «Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth?», Journal of Financial Economics, 57, 221–245.
  • Lo, A., y Mackinlay, A. C. [1990]: «When are Contrarian Profits due to Stock Market Overreaction», Review of Financial Studies, 3, 175–205.
  • Marhuenda, J. [1998]: «Estacionalidad de la Prima por Riesgo en el Mercado de Capitales Español», Revista Española de Financiación y Contabilidad, 27, 13–36.
  • Menéndez, S. [2000]: «Determinantes fundamentales de la rentabilidad de las acciones», Revista Española de Financiación y Contabilidad, 29(106), 1.015–1.031.
  • Miralles, J. L., y Miralles, M. M. [2003]: «Actividad Negociadora y Esperanza de Rentabilidad en la Bolsa de Valores Española», Revista Economía Financiera, 1, 15–36.
  • Moskowitz, T. J., y Grinblatt, M. [1999]: «Do Industries Explain Momentum?», The Journal of Finance, 54(4), 1.249–1.290.
  • Nieto, B. [2002]: «La Valoración Intertemporal de Activos: Un Análisis Empírico para el Mercado Español de Valores», Investigaciones Económicas, 26, 497–524.
  • Nieto, B. [2004]: «Evaluating Multi-Beta Pricing Models: An Empirical Analysis with Spanish Market Data», Revista de Economía Financiera, 2, 80–108.
  • Nieto, B., y Rodríguez, R. [2002]: «The Consumption-Wealth and Book-to-Market Ratios in a Dynamic Asset Pricing Context», Instituto Valenciano de Investigaciones Económicas, Working Paper, WP-EC 2002–24.
  • Nieto, B., y Rubio, G. [2002]: «El Modelo de Valoración con Cartera de Mercado: Una Nueva Especificación del Coeficiente Beta», Revista Española de Financiación y Contabilidad, 31, 113, 697–723.
  • Petkova, R., y Zhang, L. [2005]: «Is Value Riskier than Growth?», Journal of Financial Economics, 78(1), 187–202.
  • Rouwenhorst, K. G. [1998]: «International Momentum Strategies», Journal of Finance, 53, 267–284.
  • Rubio, G. [1988]: «Further International Evidence on Asset Pricing: The Case of the Spanish Capital Market», Journal of Banking and Finance, 12, 221–242.
  • Sansó, A.; Aragó, V., y Carrión-i-Silvestre, J. L. [2004]: «Testing for changes in the unconditional variance of financial time series», Revista de Economía Financiera, 4, 32–53.
  • Shanken, J. [1992]: «On the Estimation of Beta-Pricing Models», Review of Financial Studies, 5(1), 1–33.
  • Stattman, D. [1980]: «Book Values and Stock Returns», The Chicago MBA: a Journal of Selected Papers, 4, 25–45.
  • Tai, C. [2003]: «Are Fama-French and Momentum Factors really Priced?», Journal of MultinationalFinancial Management, 13, 359–384.
  • Wu, X. [2002]: «A Conditional Multifactor Analysis of Return Momentum», Journal of Banking & Finance, 26, 1675–1696.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.