Momentum Effect on the Mexican Stock Exchange
20 Pages Posted: 21 Feb 2014
Date Written: January 1, 2014
The main objective of this research is to analyze whether the momentum effect (Jegadeesh, 1990) and the long-term reverse effect (DeBondt and Thaler, 1985) are observed at the Mexican Stock Exchange, their magnitude, and their significance. These anomalies challenge the efficient market hypothesis. In tests conducted in the United States results have shown strong and persistent. In this paper, the results for the 1993-2006 period suggest that neither a momentum strategy nor a contrarian strategy would yield significant returns in the Mexican Stock Exchange.
Keywords: International Finance, Investment Decisions, Asset Pricing, Market Efficiency
JEL Classification: F30, G11, G12, G14
Suggested Citation: Suggested Citation