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
Authors:	Menkhoff, Lukas ; Schmeling, Maik
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	momentum trading \| market efficiency \| prospect theory

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Series:	Diskussionsbeitrag ; 335
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	51193999X [GVK] hdl:10419/22447 [Handle] RePEc:han:dpaper:dp-335 [RePEc]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G12 - Asset Pricing ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010262953