The main objective of this paper is to develop an asset pricing model for the Mexican stock market during the period of July 1989 to December 1998. Asset pricing theory has been a topic of debate in the United States for over thirty years and consensus has not been reached. Pursuit of empirical...

The main objective of this research is to analyze whether the momentum effect (Jegadeesh, 1990) and the long-term reverse effect (DeBondt and Thaler, 1985) are observed at the Mexican Stock Exchange, their magnitude, and their significance. These anomalies challenge the efficient market...