A Prospect-Theoretical Interpretation of Momentum Returns
Autor: Lukas Menkhoff and Maik Schmeling
Nummer: 335, May 2006, pp. 15
JEL-Class: G11, G12, G14
Abstract:
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.
Zusammenfassung:
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