Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 335
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.
momentum trading market efficiency prospect theory