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

Abinzano Guillén, María Isabel ; Muga Caperos, Luis Fernando ; Santamaría Aquilué, Rafael (Wiley, 2014) Artículo / Artikulua

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, ...