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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Momentum strategies
Momentum
Return distribution
Asymmetry
Extreme value theory

Cite this

Stork, P.A. ; Gregory-Allen, R. ; Lu, H. / Asymmetric Extreme Tails and Prospective Utility of Momentum Returns. In: Economics Letters. 2012 ; Vol. 117, No. 1. pp. 295-297.
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Asymmetric Extreme Tails and Prospective Utility of Momentum Returns. / Stork, P.A.; Gregory-Allen, R.; Lu, H.

In: Economics Letters, Vol. 117, No. 1, 2012, p. 295-297.

Research output: Contribution to JournalArticleAcademicpeer-review

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AU - Gregory-Allen, R.

AU - Lu, H.

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DO - 10.1016/j.econlet.2012.05.040

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JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

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