Asymmetric Extreme Tails and Prospective Utility of Momentum Returns
9 Pages Posted: 23 Sep 2010 Last revised: 7 May 2012
Date Written: September 22, 2010
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
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation