Por favor utiliza este link para citar o compartir este documento: http://repositoriodigital.academica.mx/jspui/handle/987654321/81393
Título: The role of over-reaction and the disposition effect in explaining momentum in Latin American emerging markets
Palabras clave: over-reaction
disposition effect
emerging markets
Fecha de publicación: 16-Jul-2012
Editorial: Investigación económica
Descripción: This paper analyzes the momentum effect in the four main Latin American stock markets. In the behavioural finance framework, the results obtained suggest that over-reaction and the disposition effect play a key role in explaining momentum. The interaction of these two factors, which depend on the market state and the performance of winner and loser momentum portfolios in relation to the reference price, provide the key to explaining the intensity of the momentum and the likelihood of its long term reversal. The impact of over-reaction and the disposition effect is also shown to vary across stock markets, making it difficult to obtain simple findings of general validity.
Other Identifiers: http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0185-16672010000300005
Aparece en las Colecciones:Investigación Económica

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