A Prospect-Theoretical Interpretation of Momentum Returns

The puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance. If we consider, however, risk in higher-order statistical moments, momentum returns appear less advantageous. Thus, a prospect-theoretical assessment of US stock momentum returns provides a possible direction for explaining this puzzle.

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Year of publication:	2006-05
Authors:	Menkhoff, Lukas ; Schmeling, Maik
Institutions:	Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
Subject:	momentum trading \| market efficiency \| prospect theory

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Extent:	application/pdf
Series:	Hannover Economic Papers (HEP). - ISSN 0949-9962.
Type of publication:	Book / Working Paper
Notes:	15 pages
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005405254