Contrarian and Momentum Strategies in the Spanish Stock Market
检验了西班牙股票市场中短期动量策略和长期反向策略的有效性，发现12个月动量策略和60个月反向策略能产生正异常收益，但反向策略在非重叠测试期效果存疑。
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.