EconStor >
Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/22447
  
Title:A Prospect-Theoretical Interpretation of Momentum Returns PDF Logo
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

Files in This Item:
File Description SizeFormat
dp-335.pdf279.85 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/22447

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.