Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22447
Authors: 
Menkhoff, Lukas
Schmeling, Maik
Year of Publication: 
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

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