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A prospect-theoretical interpretation of momentum returns

  • Menkhoff, Lukas
  • Schmeling, Maik

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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File URL: http://www.sciencedirect.com/science/article/B6V84-4M3BC1Y-9/2/361c3465e7f95552aaf42ce1b171e95d
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 93 (2006)
Issue (Month): 3 (December)
Pages: 360-366

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Handle: RePEc:eee:ecolet:v:93:y:2006:i:3:p:360-366
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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