@TechReport{dp-335,
  author        = {Menkhoff, Lukas and Schmeling, Maik},
  astring       = {Lukas Menkhoff and Maik Schmeling},
  title         = {A Prospect-Theoretical Interpretation of Momentum
                  Returns},
  month         = {May},
  year          = {2006},
  pages         = {15},
  size          = {280},
  number        = {335},
  language      = {en},
  keywords      = {momentum trading, market efficiency, prospect theory},
  jelclass      = {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.}
}