Is default risk the hidden factor in momentum returns? Some empirical results

Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael

Publication:
Is default risk the hidden factor in momentum returns? Some empirical results

dc.contributor.author	Abinzano Guillén, María Isabel
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	2015-11-02T15:25:59Z
dc.date.available	2016-10-01T23:00:15Z
dc.date.issued	2014
dc.description	This is the peer reviewed version of the following article: Abinzano, I., Muga, L. and Santamaria, R. (2014), Is default risk the hidden factor in momentum returns? Some empirical results. Account Finance, 54: 671–698, which has been published in final form at doi:10.1111/acfi.12021. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.	en
dc.description.abstract	This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, we show that it is not the hidden factor behind this effect. While the loser portfolio is characterized by high default risk, small size, high BTM and illiquidity, characterization of the winner portfolio is somewhat more complex. Given that the momentum strategy is the return differential between the winners and the losers, factors such as the stock market cycle or the evolution of momentum portfolios against their reference point make momentum profits difficult to forecast.	en
dc.description.sponsorship	This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819) and the Ministry of Economy and Competitiveness (ECO2012-35946-C02-01). Isabel Abinzano particularly acknowledges the financial support of the Andalusian Regional Government (P09-SEJ-4467).	en
dc.embargo.lift	2016-10-01
dc.embargo.terms	2016-10-01
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1111/acfi.12021
dc.identifier.issn	0810-5391 (Print)
dc.identifier.issn	1467-629X (Electronic)
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/18752
dc.language.iso	eng	en
dc.publisher	Wiley	en
dc.relation.ispartof	Accounting and Finance 54 (2014) 671–698	en
dc.relation.projectID	info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/	en
dc.relation.publisherversion	https://dx.doi.org/10.1111/acfi.12021
dc.rights	© 2013 The Authors. Accounting and Finance © 2013 AFAANZ	en
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.subject	Momentum effect	en
dc.subject	Default risk	en
dc.subject	Hard to value assets	en
dc.title	Is default risk the hidden factor in momentum returns? Some empirical results	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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