Resumen

MUGA, Luis  y  SANTAMARIA, Rafael. El efecto momentum en la Bolsa Mexicana de Valores. El trimestre econ [online]. 2009, vol.76, n.302, pp.433-463.  Epub 20-Nov-2020. ISSN 2448-718X.

This paper tests the momentum effect in the Mexican Stock Exchange. We document a strong momentum effect for this stock market during the period 1993-2006. In addition, we also find that neither risk factors nor transaction costs can explain the returns of the momentum strategies in this market. Finally, our results reveal that momentum returns are linked to some variables that proxy slow information diffusion or over confidence. These results support some behavioural finance models.

Palabras llave : momentum; riesgo; finanzas de comportamiento.

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