Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

P.A. Stork, R. Gregory-Allen, H. Lu

Research output: Contribution to JournalArticleAcademicpeer-review

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 languageEnglish
Pages (from-to)295-297
JournalEconomics Letters
Volume117
Issue number1
DOIs
Publication statusPublished - 2012

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