Stork, P., Gregory-Allen, R. and Lu, H. (2012). Asymmetric Extreme Tails and Prospective Utility of Momentum Returns Economics Letters, 117(1):295--297.
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Affiliated authorPhilip Stork
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Publication year2012
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JournalEconomics Letters
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.