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Original Articles

¿Es el efecto momentum exclusivo de empresas insolventes?

Is the momentum effect exclusive of high default risk firms?

, , &
Pages 445-476 | Received 29 May 2009, Accepted 30 Mar 2010, Published online: 15 Jan 2014

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REFERENCIAS

  • Abínzano, I.; Muga, L., y Santamaría, R. 2010. ¿Es el efecto momentum exclusivo de empresas insolventes? III Jornadas de la REFC. Cartagena, 18–20 noviembre 2009. Incluido en este número de la Revista Española de Financiación y Contabilidad.
  • Agarwal, V., y Taffler, R. 2008. Does financial distress risk drive the momentum anomaly? Financial Management 37: 461–484.
  • Altman, E. I. 1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 23: 589–609.
  • Avramov, D.; Chordia, T.; Jostova, G., y Philipov, A. 2007. Momentum and credit rating. Journal of Finance 62(5): 2.503–2.520.
  • Barberis, N.; Shleifer, A., y Vishny, R. 1998. A Model of Investor Sentiment. Journal of Financial Economics 49: 307–343.
  • Black, F., y Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81: 637–654.
  • Byström, H. 2006. Merton unraveled: A flexible way of modeling default risk. Journal of Alternative Investments 8(4): 39–47.
  • Byström, H.; Worasinchai, L., y Chongsithipol, S. 2005. Default risk, systematic risk and Thai firms before, during and after the Asian crisis. Research in International Business and Finance 19: 95–110.
  • Carhart, M. M. 1997. On Persistence in Mutual Fund Performance. The Journal of Finance 52(1): 57–82.
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  • Fama, E., y French, K. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3–53.
  • Fama, E. F., y French, K. R. 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance 50(1): 55–85.
  • Forner, C., y Marhuenda, J. 2003. Contrarian and momentum strategies in the Spanish stock market. European Financial Management 9: 67–88.
  • Forner, C., y Marhuenda, J. 2006. El efecto momentum en el mercado español de acciones. Investigaciones Económicas 30: 401–439.
  • Hong, H., y Stein, J. C. 1999. A Unified Theory of Underreaction, Momentum Trading, and overreaction in Asset Markets’, The Journal of Finance 54(6): 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.
  • Jegadeesh, N., y Titman, S. 2001. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56: 699–720.
  • Muga, L., y Santamaría, R. 2006. Momentum: Características y estabilidad temporal. Resultados para la bolsa española. Revista Española de Financiación y Contabilidad 35: 597–620.
  • Muga, L., y Santamaría, R. 2007. Riesgo asimétrico y estrategias de momentum en el mercado de valores español. Investigaciones Económicas 31: 323–340.
  • Vassalou, M., y Xing, Y. 2004. Default risk in equity returns. Journal of Finance 49: 831–868.

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