A Prospect-Theoretical Interpretation of Momentum Returns

@inproceedings{Menkhoff2006API,
  title={A Prospect-Theoretical Interpretation of Momentum Returns},
  author={Lukas Menkhoff and Maik Schmeling},
  year={2006}
}
  • Lukas Menkhoff, Maik Schmeling
  • Published 2006
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. JEL-Classification: G 11, G 12, G 14 

3 Figures & Tables