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Sobre-reacción e infra-reacción de los inversores en el mercado de capitales español

 

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Título alternativo: Over-reaction and under-reaction of investors in tke Spanish Stock Market
Author: Rueda Torres, Juan Antonio
García-Ayuso Covarsí, Manuel
Department: Universidad de Sevilla. Departamento de Contabilidad y Economía Financiera
Date: 2003
Published in: Revista española de financiación y contabilidad, 32 (116), 63-93.
Document type: Article
Abstract: Sobre la base de una muestra de valores negociados en el mercado de capitales español durante el período 1963–98, este trabajo demuestra que los títulos perdedores (ganadores), caracterizados por un rendimiento muy inferior (superior) al obtenido en...
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Based on a sample of firms traded in the Spanish stock market over the period 1963–1998, we find that the market-adjusted returns computed using a 60-month window for the stocks classified as winners and losers show a significant reversal over the subsequent 60 months. On the other hand, winners (losers) stocks identified in each year yield positive (negative) market-adjusted returns over the subsequent year. Assuming the validity of the CAPM, we also found that a contrarian investment strategy based on taking a long (short) position on shares of loosing (winner) companies in the long-term, and a momentum strategy based on taking a long (short) position on winner (loser) stocks in the short-term, would have yielded a positive and significant average abnormal return. On the whole, our results provide empirical support for the under-reaction and over-reaction hypothesis in the Spanish stock market.
Cite: Rueda Torres, J.A. y García-Ayuso Covarsí, M. (2003). Sobre-reacción e infra-reacción de los inversores en el mercado de capitales español. Revista española de financiación y contabilidad, 32 (116), 63-93.
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URI: https://hdl.handle.net/11441/84954

DOI: 10.1080/02102412.2003.10779484

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