Are momentum traders different? Implications for the momentum puzzle
AbstractThis article examines the puzzlingly high unexploited momentum returns from a new perspective. We analyse characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a somewhat lower degree of risk aversion, whereas they are like other fund managers with respect to sophistication. This is consistent with the interpretation that momentum returns may compensate for the risk of momentum trading on short-term horizons and that the short-term oriented momentum traders are not in a position to perform long-term arbitrage.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 43 (2011)
Issue (Month): 29 ()
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Web page: http://www.tandfonline.com/RAEC20
Other versions of this item:
- Menkhoff, Lukas, 2010. "Are Momentum Traders Different? Implications for the Momentum Puzzle," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-448, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
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