Momentum and size effects in the colombian stock market

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.