The momentum effect is perhaps one of the most embarrassing puzzles in the stock marketresearch nowadays. However, such … phenomenon has received scarce attention in the Spanish Market.In this paper, we present a meticulous analysis of the momentum … autocorrelation in the specific return component,which seriously questions the market efficiency hypothesis. Moreover, the momentum …

Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not … possible explanations of such phenomenon byanalyzing two new items. In the first part, the possibility that the momentum …) have been tested, by facing the momentum profits to the size, book-to-marketand analyst coverage characteristics. While the …