Contrarian and Momentum Strategies in the Spanish Stock Market

22 Pages Posted: 18 Mar 2003

See all articles by Carlos Forner

Carlos Forner

Universidad de Alicante-Dpto. Economía Financiera

Joaquin Marhuenda

Universidad de Alicante - Department of Economic Analysis

Abstract

There is extensive international evidence that the momentum strategy yields positive abnormal returns when short-term periods are considered, whereas the contrarian strategy is effective for long-term periods. However, this topic has received scarce attention in the Spanish stock market. We show that these two phenomena seem to be present in this market, and in particular that the 12-month momentum strategy and the 60-month contrarian strategy yield positive abnormal returns, although the effectiveness of the contrarian strategy is under suspicion when non-overlapping test periods are used. Our study therefore provides additional evidence that the results obtained in the literature on this topic are not from data snooping.

Keywords: Efficiency, Contrarian Strategy, Momentum Strategy, Risk

JEL Classification: G14, G11, G12

Suggested Citation

Forner Rodríguez, Carlos and Marhuenda Fructuoso, Joaquin, Contrarian and Momentum Strategies in the Spanish Stock Market. Available at SSRN: https://ssrn.com/abstract=388487

Carlos Forner Rodríguez (Contact Author)

Universidad de Alicante-Dpto. Economía Financiera ( email )

Ctra. S. Vicente s/n
03690-S. Vicente del Raspeig
Alicante, San Vicente del Raspeig - Alicante 03690
Spain

Joaquin Marhuenda Fructuoso

Universidad de Alicante - Department of Economic Analysis ( email )

Economia Financiera, Contabilidad y Marketing
E-03080 Alicante
Spain
965 90 36 11 (Phone)
965 90 36 21 (Fax)

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