Is default risk the hidden factor in momentum returns? Some empirical results
Fecha
2014Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1111/acfi.12021
Resumen
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, characteriz ...
[++]
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. [--]
Materias
Momentum effect,
Default risk,
Hard to value assets
Editor
Wiley
Publicado en
Accounting and Finance 54 (2014) 671–698
Notas
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.
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
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).