03.06.2016 Views

ponencia - Ivie

Create successful ePaper yourself

Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.

Merton, R.C. (1987), “A simple model of capital market equilibrium with incomplete<br />

information”, Journal of Finance 42, 483-510<br />

Muga, L. y Santamaría, R. (2003), “El Efecto Momentum. Algunos Resultados para la<br />

Bolsa Española”, XII Congreso AECA, Cádiz.<br />

Nagel, S., (2001), “Is It Overreaction? The Performance of Value and Momentum<br />

Strategies at Long Horizons”, Working Paper, EFA 2001 Barcelona Meetings<br />

Odean, T., (1998a), “Are Investors Reluctant to Realize Their Losses?”, Journal of<br />

Finance, vol. 53, nº 5, pp. 1775-1798.<br />

Odean, T., (1998b), “Volume, Volatility, Price and Profit when all traders are Above<br />

Average”, Journal of Finance, vol.53, no. 6 (December), pp. 1887-1934<br />

Rouwenhorst, K.G., (1998), “International Momentum Strategies”, The Journal of<br />

Finance, vol. 53, nº 1, pp. 267-84<br />

Shefrin, H. y Statman, M., (1985), “the Disposition to Sell Winners too Early and Ride<br />

Losers too Long: Theory and Evidence”, Journal of Finance 40, pp. 777-90<br />

Tversky, A. y Kahneman, D., (1974), “Judgment Under Uncertainty: Heuristics and<br />

Biases”, Science 185, pp. 1124-1131<br />

Wu, X., (2002), “A Conditional Multifactor Analysis of Return Momentum”, Journal of<br />

Banking and Finance, Vol. 26, No. 8,<br />

35

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!