Publication: Momentum and default risk. Some results using the jump component
| dc.contributor.author | González Urteaga, Ana | |
| dc.contributor.author | Muga Caperos, Luis Fernando | |
| dc.contributor.author | Santamaría Aquilué, Rafael | |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.date.accessioned | 2015-11-02T15:29:55Z | |
| dc.date.available | 2018-08-01T23:00:09Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend results from the US market to the Spanish stock market, which, despite being a developed market, presents several differences in terms of stock characteristics, financial system, investor typology and cultural dimensions. The results show that the jump component has significant explanatory power for the premium of three characteristics (size, book-to-market and illiquidity), which is at odds with risk-based explanations. Using the same testing strategy, we try to shed some light on an important controversy concerning the relationship between default risk and momentum. The results suggest that default risk is not the source of momentum returns. | en |
| dc.description.sponsorship | This paper has received financial support from the Spanish Ministry of Economy and Competitiveness (ECO2012- 35946-C02-01). In addition, Ana González-Urteaga acknowledges financial support from ECO2012-34268. | en |
| dc.embargo.lift | 2018-08-01 | |
| dc.embargo.terms | 2018-08-01 | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1016/j.irfa.2015.05.017 | |
| dc.identifier.issn | 1057-5219 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/18753 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | International Review of Financial Analysis 40 (2015) 185–193 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/ | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-34268/ES/ | en |
| dc.relation.publisherversion | https://dx.doi.org/10.1016/j.irfa.2015.05.017 | |
| dc.rights | © 2015 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license. | en |
| dc.rights.accessRights | Acceso abierto / Sarbide irekia | es |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | en |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Jumps | en |
| dc.subject | Momentum | en |
| dc.subject | Default risk | en |
| dc.subject | Behavioral finance | en |
| dc.title | Momentum and default risk. Some results using the jump component | en |
| dc.type | Artículo / Artikulua | es |
| dc.type | info:eu-repo/semantics/article | en |
| dc.type.version | Versión aceptada / Onetsi den bertsioa | es |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | en |
| dspace.entity.type | Publication | |
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