메뉴 건너뛰기




Volumn 17, Issue 6, 2007, Pages 469-486

The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL CRISIS; PROFITABILITY; STOCK MARKET; TURNOVER;

EID: 33947387526     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100600706766     Document Type: Article
Times cited : (10)

References (40)
  • 1
    • 33947407794 scopus 로고    scopus 로고
    • Downside Risk SSRN
    • Ang, A., Chen, J. and Xing, Y. (2005) Downside risk SSRN.
    • (2005)
    • Ang, A.1    Chen, J.2    Xing, Y.3
  • 4
    • 79959618141 scopus 로고    scopus 로고
    • Profitability of contrarian versus momentum strategies: Evidence from the Istanbul Stock Exchange
    • Bildik, R. and Gülay, G. (2002) Profitability of contrarian versus momentum strategies: Evidence from the Istanbul Stock Exchange
    • (2002)
    • Bildik, R.1    Gülay, G.2
  • 8
    • 0042594655 scopus 로고    scopus 로고
    • Momentum, business cycle and time varying expected returns
    • Chordia, T. and Shivakumar, L. (2002) Momentum, business cycle and time varying expected returns. Journal of Finance, 57, pp. 985-1019.
    • (2002) Journal of Finance , vol.57 , pp. 985-1019
    • Chordia, T.1    Shivakumar, L.2
  • 9
    • 0003800336 scopus 로고    scopus 로고
    • Momentum, legal systems and ownership structure: An analysis of Asian stock markets
    • Chui, ACW, Titman, S. and Wei, KCJ (2001) Momentum, legal systems and ownership structure: An analysis of Asian stock markets
    • (2001)
    • Chui, A.C.W.1    Titman, S.2    Wei, K.C.J.3
  • 10
    • 0039401916 scopus 로고    scopus 로고
    • An anatomy of trading strategies
    • Conrad, J. and Kaul, G. (1998) An anatomy of trading strategies. Review of Financial Studies, 11, pp. 489-519.
    • (1998) Review of Financial Studies , vol.11 , pp. 489-519
    • Conrad, J.1    Kaul, G.2
  • 12
    • 33745590711 scopus 로고    scopus 로고
    • The profitability of momentum strategies using stock futures contracts in small markets
    • Corredor, P., Muga, L. and Santamaría, R. (2006) The profitability of momentum strategies using stock futures contracts in small markets. Applied Financial Economics Letters, 3, pp. 173-177.
    • (2006) Applied Financial Economics Letters , vol.3 , pp. 173-177
    • Corredor, P.1    Muga, L.2    Santamaría, R.3
  • 13
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market under and overreactions
    • Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998) Investor psychology and security market under and overreactions. Journal of Finance, 53, pp. 1839-1885.
    • (1998) Journal of Finance , vol.53 , pp. 1839-1885
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 14
    • 84900013243 scopus 로고
    • Does the Stock market overreact?
    • De Bondt, W. and Thaler, R. (1985) Does the Stock market overreact?. Journal of Finance, 40, pp. 793-805.
    • (1985) Journal of Finance , vol.40 , pp. 793-805
    • De Bondt, W.1    Thaler, R.2
  • 15
    • 13844299820 scopus 로고    scopus 로고
    • Contrarian and momentum strategies in the Spanish stock market
    • Forner, C. and Marhuenda, J. (2003) Contrarian and momentum strategies in the Spanish stock market. European Financial Management, 9, pp. 67-88.
    • (2003) European Financial Management , vol.9 , pp. 67-88
    • Forner, C.1    Marhuenda, J.2
  • 16
    • 38849097623 scopus 로고    scopus 로고
    • Análisis del origen de los beneficios del momentum en el mercado de valores español
    • Forner, C. and Marhuenda, J. (2006) Análisis del origen de los beneficios del momentum en el mercado de valores español. Investigaciones Económicas, 30, pp. 401-439.
    • (2006) Investigaciones Económicas , vol.30 , pp. 401-439
    • Forner, C.1    Marhuenda, J.2
  • 17
    • 7244260426 scopus 로고    scopus 로고
    • Sources of the contrarian profits and return predictability in emerging markets
    • Galiriotis, EC (2004) Sources of the contrarian profits and return predictability in emerging markets. Applied Financial Economics, 14, pp. 1027-1034.
    • (2004) Applied Financial Economics , vol.14 , pp. 1027-1034
    • Galiriotis, E.C.1
  • 18
    • 33646215431 scopus 로고    scopus 로고
    • Momentum and turnover: Evidence from the German stock market
    • Glaser, M. and Weber, M. (2003) Momentum and turnover: Evidence from the German stock market. Schmalenbach Business Review, 55, pp. 108-135.
    • (2003) Schmalenbach Business Review , vol.55 , pp. 108-135
    • Glaser, M.1    Weber, M.2
  • 19
    • 0344153902 scopus 로고    scopus 로고
    • Momentum investing and business cycle risk: Evidence from pole to pole
    • Griffin, JM and Martin, JS (2003) Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance, 58, pp. 2515-2548.
    • (2003) Journal of Finance , vol.58 , pp. 2515-2548
    • Griffin, J.M.1    Martin, J.S.2
  • 21
    • 1342286223 scopus 로고    scopus 로고
    • Predicting stock price movements from past returns: The role of consistency and tax loss selling
    • Grinblatt, M. and Moskowitz, TJ (2004) Predicting stock price movements from past returns: The role of consistency and tax loss selling. Journal of Financial Economics, 71, pp. 541-579.
    • (2004) Journal of Financial Economics , vol.71 , pp. 541-579
    • Grinblatt, M.1    Moskowitz, T.J.2
  • 22
    • 33847762540 scopus 로고    scopus 로고
    • Momentum strategies: Evidence from Pacific basin stock markets
    • Hameed, A. and Kusnadi, Y. (2002) Momentum strategies: Evidence from Pacific basin stock markets. Journal of Financial Research, 25, pp. 383-397.
    • (2002) Journal of Financial Research , vol.25 , pp. 383-397
    • Hameed, A.1    Kusnadi, Y.2
  • 24
    • 0012166025 scopus 로고    scopus 로고
    • An unified theory of underreaction, momentum trading and overreaction in asset markets
    • Hong, H. and Stein, JC (1999) An unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance, 54, pp. 2143-2184.
    • (1999) Journal of Finance , vol.54 , pp. 2143-2184
    • Hong, H.1    Stein, J.C.2
  • 25
    • 0039372663 scopus 로고    scopus 로고
    • Bad news Travel slowly: Size, analyst coverage and the profitability of momentum strategies
    • Hong, H., Lim, T. and Stein, JC (2000) Bad news Travel slowly: Size, analyst coverage and the profitability of momentum strategies. Journal of Finance, 55, pp. 265-295.
    • (2000) Journal of Finance , vol.55 , pp. 265-295
    • Hong, H.1    Lim, T.2    Stein, J.C.3
  • 26
    • 33645743428 scopus 로고    scopus 로고
    • A trade based analysis of momentum
    • Hvidkjaer, S. (2005) A trade based analysis of momentum. Review of Financial Studies, 19, pp. 457-491.
    • (2005) Review of Financial Studies , vol.19 , pp. 457-491
    • Hvidkjaer, S.1
  • 27
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • Jegadeesh, N. (1990) Evidence of predictable behavior of security returns. Journal of Finance, 45, pp. 881-898.
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 28
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • Jegadeesh, N. and Titman, S. (2001) Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56, pp. 699-720.
    • (2001) Journal of Finance , vol.56 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 29
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N. and Titman, S. (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, pp. 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 30
    • 0010734388 scopus 로고    scopus 로고
    • Price, momentum and trading volume
    • Lee, CMC and Swaminathan, B. (2000) Price, momentum and trading volume. Journal of Finance, 55, pp. 2017-2069.
    • (2000) Journal of Finance , vol.55 , pp. 2017-2069
    • Lee, C.M.C.1    Swaminathan, B.2
  • 31
    • 84963088616 scopus 로고
    • Fads, martingales, and market efficiency
    • Lehmann, B. (1990) Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105, pp. 1-28.
    • (1990) Quarterly Journal of Economics , vol.105 , pp. 1-28
    • Lehmann, B.1
  • 33
    • 0001173683 scopus 로고
    • When are contrarian profits due to stock market overreaction?
    • MacKinlay, C. (1990) When are contrarian profits due to stock market overreaction?. Review of Financial Studies, 3, pp. 175-205.
    • (1990) Review of Financial Studies , vol.3 , pp. 175-205
    • MacKinlay, C.1
  • 34
    • 0346332965 scopus 로고    scopus 로고
    • Systematic skewness in asset pricing: An empirical examination of the Taiwan stock market
    • Lin, B-H and Wang, JMC (2003) Systematic skewness in asset pricing: An empirical examination of the Taiwan stock market. Applied Economics, 35, pp. 1877-1887.
    • (2003) Applied Economics , vol.35 , pp. 1877-1887
    • Lin, B.-H.1    Wang, J.M.C.2
  • 35
    • 31144455959 scopus 로고    scopus 로고
    • Is the 52-week high momentum strategy profitable outside the US?
    • Marshall, BR and Cahan, RM (2005) Is the 52-week high momentum strategy profitable outside the US?. Applied Financial Economics, 15, pp. 1259-1267.
    • (2005) Applied Financial Economics , vol.15 , pp. 1259-1267
    • Marshall, B.R.1    Cahan, R.M.2
  • 37
    • 33947430699 scopus 로고    scopus 로고
    • Is It Overreaction? The performance of value and momentum strategies at long horizons EFA 2001 Barcelona Meetings
    • Nagel, S. (2001) Is It Overreaction? The performance of value and momentum strategies at long horizons EFA 2001 Barcelona Meetings
    • (2001)
    • Nagel, S.1
  • 38
    • 0040165125 scopus 로고    scopus 로고
    • International momentum strategies
    • Rouwenhorst, KG (1998) International momentum strategies. Journal of Finance, 53, pp. 267-284.
    • (1998) Journal of Finance , vol.53 , pp. 267-284
    • Rouwenhorst, K.G.1
  • 39
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stocks markets
    • Rouwenhorst, KG (1999) Local return factors and turnover in emerging stocks markets. Journal of Finance, 54, pp. 1439-1464.
    • (1999) Journal of Finance , vol.54 , pp. 1439-1464
    • Rouwenhorst, K.G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.