The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market

DOI10.1080/14697680601077975zbMath1151.91723OpenAlexW2010769253MaRDI QIDQ5440105

Rafael Santamaría, Luis Muga

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22094

zbMATH Keywords

market efficiencybehavioural financeempirical asset pricinganomalies in prices

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Marginal Conditional Stochastic Dominance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Common risk factors in the returns on stocks and bonds
• Consistent Tests for Stochastic Dominance

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