Title of article
A prospect-theoretical interpretation of momentum returns
Author/Authors
Lukas Menkhoff، نويسنده , , Maik Schmeling، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
7
From page
360
To page
366
Abstract
The puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance. However, by applying a prospect-theoretical assessment of US stock momentum returns we provide a possible direction for explaining the puzzle.
Keywords
Momentum trading , Market efficiency , Prospect theory
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
436092
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