A prospect-theoretical interpretation of momentum returns

DOI10.1016/J.ECONLET.2006.06.011zbMath1254.91757OpenAlexW1982133670MaRDI QIDQ1929483

Maik Schmeling, Lukas Menkhoff

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-335.pdf

zbMATH Keywords

prospect theorymarket efficiencymomentum trading

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Asymmetric extreme tails and prospective utility of momentum returns

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory and Asset Prices
• Prospect Theory: An Analysis of Decision under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle

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