Resource title

A Prospect-Theoretical Interpretation of Momentum Returns

Resource image

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Resource description

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.

Resource author

Lukas Menkhoff, Maik Schmeling

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22447

Resource license

Adapt according to the presented license agreement and reference the original author.