Abstract
We use extreme value theory to analyse the tails of a momentum strategy's return distribution. The asymmetry between the fat left tail and thin right tail strongly reduces a momentum strategy's prospective utility levels. © 2012 Elsevier B.V.
Original language | English |
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Pages (from-to) | 295-297 |
Journal | Economics Letters |
Volume | 117 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2012 |