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http://hdl.handle.net/10419/22447
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| Title: | | A Prospect-Theoretical Interpretation of Momentum Returns  |
| Authors: | | Menkhoff, Lukas Schmeling, Maik |
| Issue Date: | | 2006 |
| Series/Report no.: | | Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 335 |
| 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. |
| Subjects: | | momentum trading market efficiency prospect theory |
| JEL: | | G14 G12 G11 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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