Is default risk the hidden factor in momentum returns? Some empirical results
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Date
2014
Version
Acceso abierto / Sarbide irekia
Type
Artículo / Artikulua
Version
Versión aceptada / Onetsi den bertsioa
Project Identifier
MICINN//ECO2009-12819-C03-01/ES/ 
MINECO//ECO2012-35946-C02-01/ES/
MINECO//ECO2012-35946-C02-01/ES/
Impact
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, characteriz ...
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Subject
Momentum effect,
Default risk,
Hard to value assets
Publisher
Wiley
Published in
Accounting and Finance 54 (2014) 671–698
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.
Departament
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Publisher version
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).
