A Prospect-Theoretical Interpretation ofMomentum Returns

The puzzling evidence of seemingly high momentum returns is related to an understanding ofrisk as a simple covariance. If we consider, however, risk in higher-order statistical moments,momentum returns appear less advantageous.

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Year of publication:	2006-05-01
Authors:	Menkhoff, Lukas ; Schmeling, Maik
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Handel \| trade \| Effizienz

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Table of Contents
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1 Introduction
2 Data and the multi-factor interpretation of momentum returns
3 Comparing statistics of market and momentum returns
4 A prospect-theoretical interpretation of momentum returns
5 Conclusion
References

Persistent link: https://www.econbiz.de/10005867505