The role of over-reaction and the disposition effect in explaining momentum in Latin American emerging markets

Abstract

Medium-term continuation in stock returns, also known as ‘the momentum effect’, is an empirical pattern found almost universally across both the United States (US) market1 and others (see Rouwenhorst 1998, for various European markets; Chui et al. 2000, or Hameed and Kusnadi 2002, for some Asian Basin markets; Hon and Tonks 2003, for the United Kingdom; Glaser and Weber 2003, for the German market; Muga and Santamaria 2007a, for some Latin-American markets).