Asymmetric risk and momentum strategies in the Spanish stock market

This paper analyses the role of asymmetric risk in the explanation of the momentum effect in the Spanish stock market. Initially, we find a significant negative relationship between portfolio coskewness and return. For this reason, we incorporate a coskewness factor, SKS, into the traditional CAPM and Fama-French valuation models. According to our results., this factor has a positive and statistically significant relationship with momentum strategies but cannot fully explain abnormal-return momentum, therefore the momentum puzzle still remains.