Forner, Carlos; Marhuenda, Joaquín - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004
Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not be explained neither by the CAPM nor the Fama&French (1993) threefactor model. The aim of this paper is to deepen in the possible explanations of such phenomenon byanalyzing two...