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In this article, we test the momentum effect in the Spanish stock market during the 1990s. Though there is evidence of momentum, it disappears after the 1997 crisis. While momentum profits are associated with both size and turnover effects, neither of these factors is a determinant in explaining the momentum effect. The turn of the year effect also lacks sufficient explanatory power to account either for the appearance or disappearance of this effect. An important role is played in this puzzle by the winner portfolio, particularly when it is constructed from small, high turnover stocks. Analysis of the characteristics and evolution of this portfolio may, therefore, help to explain the momentum effect.
