Asymmetric extreme tails and prospective utility of momentum returns

Russell Gregory-Allen, Helen Lu and Philip Stork

Economics Letters, 2012, vol. 117, issue 1, 295-297

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.

Keywords: Extreme value theory; Asymmetric tails; Prospective utility (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:295-297

DOI: 10.1016/j.econlet.2012.05.040

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