Muga, Luis; Santamaría, Rafael - In: El Trimestre Económico LXXVI (2) (2009) 302, pp. 433-463
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....