The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed
Published version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Kwon, Oh Kang
Satchell, Stephen
Abstract
jats:pIn Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the framework is extended to derive the corresponding results when the asset returns are multivariate Student’s t. In particular, we derive the probability density function and the moments of the cross-sectional momentum returns and examine in detail the special case of two underlying assets to demonstrate that many of the salient features reported in the empirical literature are consistent with the theoretical implications.</jats:p>
Description
Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services
Journal Title
Journal of Risk and Financial Management
Conference Name
Journal ISSN
1911-8066
1911-8074
1911-8074
Volume Title
13
Publisher
MDPI AG