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dc.creatorAbinzano Guillén, María Isabeles_ES
dc.creatorMuga Caperos, Luis Fernandoes_ES
dc.creatorSantamaría Aquilué, Rafaeles_ES
dc.date.accessioned2015-11-02T15:25:59Z
dc.date.available2016-10-01T23:00:15Z
dc.date.issued2014
dc.identifier.issn0810-5391 (Print)
dc.identifier.issn1467-629X (Electronic)
dc.identifier.urihttps://hdl.handle.net/2454/18752
dc.descriptionThis 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.abstractThis 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.sponsorshipThis 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.format.mimetypeapplication/pdfen
dc.language.isoengen
dc.publisherWileyen
dc.relation.ispartofAccounting and Finance 54 (2014) 671–698en
dc.rights© 2013 The Authors. Accounting and Finance © 2013 AFAANZen
dc.subjectMomentum effecten
dc.subjectDefault risken
dc.subjectHard to value assetsen
dc.titleIs default risk the hidden factor in momentum returns? Some empirical resultsen
dc.typeArtículo / Artikuluaes
dc.typeinfo:eu-repo/semantics/articleen
dc.contributor.departmentUniversidad Pública de Navarra. Departamento de Gestión de Empresases_ES
dc.contributor.departmentNafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Sailaeu
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.embargo.terms2016-10-01
dc.identifier.doi10.1111/acfi.12021
dc.relation.projectIDinfo:eu-repo/grantAgreement/ES/6PN/ECO2009-12819en
dc.relation.projectIDinfo:eu-repo/grantAgreement/ES/6PN/ECO2012-35946en
dc.relation.publisherversionhttps://dx.doi.org/10.1111/acfi.12021
dc.type.versionVersión aceptada / Onetsi den bertsioaes
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen


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