Search results for "Momentum factor"
showing 2 items of 2 documents
Capacidad Explicativa De Un Factor Pronnstico Econnmico Sobre El Crecimiento Econnmico Futuro: Efectos En La Valoraciin De Activos (News Related to F…
2013
El mercado espanol paga una prima significativa por los riesgos asociados al mercado, tamano y ratio book-to-market y por el factor de negociacion momentum. Este articulo estudia la capacidad de un factor replica del pronostico de mercado sobre el crecimiento economico futuro para explicar de forma alternativa los rendimientos de los activos espanoles separando el efecto previo y posterior a la crisis de 2008. Y relaciona los resultados proporcionados por dos modelos de valoracion para analizar la posible interpretacion racional de los factores tamano, ratio book-to-market y momentum. Nuestros resultados no son consistentes con la interpretacion economica de los factores tamano y ratio book…
Is Sentiment Risk Priced By Stock Market?
2012
International audience; This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.