Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062645 | Economics Letters | 2006 | 7 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lukas Menkhoff, Maik Schmeling,