Are Momentum Traders Different?Implications for the Momentum Puzzle

This paper examines the puzzlingly high unexploited momentum returns from a new perspective.We analyze characteristics of momentum traders in a sample of 692 fund managers. Wefind that momentum traders are “defined” by their short-term horizon, by a behavioural viewon the market and by a somewhat lower degree of risk aversion, whereas they are like otherfund managers with respect to sophistication...

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Year of publication:	2010-05-01
Authors:	Menkhoff, Lukas
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Kapitalmarkteffizienz \| Heuristik \| Heuristic Optimization \| Wertpapierhandel

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Extent:	193536 bytes 27 p. application/pdf
Series:	Leibniz Universität Hannover - Wirtschaftswissenschaftliche Fakultät - Diskussionspapiere Discussion Paper ; No. 448 (2011)
Type of publication:	Book / Working Paper
Language:	English
ISSN:	0409-9962
Classification:	D85 - Network Formation ; G14 - Information and Market Efficiency; Event Studies ; G23 - Pension Funds; Other Private Financial Institutions ; Corporate finance and investment policy. General ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009302618