Are momentum traders different? Implications for the momentum puzzle

Arbeitspapier

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a somewhat lower degree of risk aversion, whereas they are like other fund managers with respect to sophistication. This is consistent with the interpretation that momentum returns may compensate for the risk of momentum trading on short-term horizons and that the short-term oriented momentum traders are not in a position to perform long-term arbitrage.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Diskussionsbeitrag ; No. 448

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors ; Network Formation and Analysis: Theory
• Thema: momentum trading ; market efficiency ; behavioural finance ; risk ; Investmentfonds ; Führungskräfte ; Anlageverhalten ; Wertpapierhandel ; Zeit ; Risikoaversion ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Menkhoff, Lukas
• Ereignis: Veröffentlichung
• (wer): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (wo): Hannover
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/38745
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ