Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

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

doi:10.1016/j.econlet.2012.05.040

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

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

Research output: Contribution to Journal › Article › Academic › peer-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 language	English
Pages (from-to)	295-297
Journal	Economics Letters
Volume	117
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2012.05.040
Publication status	Published - 2012

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 7 Affordable and Clean Energy

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10.1016/j.econlet.2012.05.040

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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. {\textcopyright} 2012 Elsevier B.V.",

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JO - Economics Letters

JF - Economics Letters

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Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Abstract

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