In a previous work, Forner and Marhuenda (2001) find that the contrarian strategy, thatis, the forming of a zero-investment portfolio that buys the stocks that have performed poorly inthe past (losers) and sells those that have performed well (winners), does not yield abnormallypositive returns...

Several studies have shown that the contrarian strategy, or the forming of a zeroinvestmentportfolio that buys the stocks that have performed poorly in the past (losers) andsells those that have performed well (winners), creates abnormally positive returns in thefuture. Many hypotheses have been...

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 profits in this market, with specialconcern on...

Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not be explained neither by the CAPM nor the Fama&French (1993) threefactor model. The aim of this paper is to deepen in the possible explanations of such phenomenon byanalyzing two...

The aim of this study is analyzed empirically the effect that annual earnings announcementshave in market value and the trading volume of shares on the Spanish Stock Market for the periodbetween 1999 and 2001. With the finality to accomplish a more complete analysis, is examined theactual...

There is empirical evidence in the finance literature showing that informationincorporated in the consensus estimate of earnings per share (EPS) is efficiently reflected byshare prices while the market is quite inefficient in discounting consensus shifts. In thissituation, it is possible that...