TY  - THES 
TI  - Momentum and size effects in the colombian stock market
PB  - Universidad Icesi
PY  - 2009
UR  - http://hdl.handle.net/10906/5454
AB  - This paper examines momentum and size effects after the merger of Colombia's local
stock exchangesi n 2001.W e analyzep erformanceo f momentump ortfoliosu nderd ifferent
settings and realistically,b efore and after transactionc osts. In addition, we test the
profitabilityo f a size strategya nd whether,c ontrollingfo r marketr isk,r eturnsa re relatedt o
size. Results are consistent with momentum and size effects before transaction costs.
Momentume ffectss eem strongert han size effects.  We concludet hat the profitabilityo of the two strategies disappears when transaction costs are included. Consistent with the
CAPM. size is foundt o be unrelatedt to returns.
KW  - MERCADOS EMERGENTES
KW  - BOLSA DE VALORES
KW  - ACCIONES (BOLSA)
KW  - MERCADO DE VALORES
KW  - FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
KW  - MAESTRÍA EN FINANZAS-TESIS
KW  - PRODUCCIÓN INTELECTUAL REGISTRADA - UNIVERSIDAD ICESI
ER  -