Value and Momentum from Investors' Perspective: Evidence from Professionals' Risk-Ratings

Christoph Merkle, Christoph Sextroh

Research output: Working paperOther research output


We conduct a controlled experiment with financial professionals to examine more directly whether value and momentum reflect risk factors or mispricing. By eliciting their risk perceptions and return expectations for company stocks, we identify what constitutes a risky investment from the point of investors. Contrary to the risk factor hypothesis, value and momentum stocks are regarded as less risky. However, other factors such as size and beta fall in line with their traditional interpretation as risk factors. Consistent with empirical findings, we observe higher return expectations for momentum stocks, raising questions on analysts believing in a risk-return trade-off.
Original languageEnglish
Place of PublicationTilburg
Number of pages66
Publication statusUnpublished - 2019


  • value
  • momentum
  • risk factor
  • anomaly
  • financial analysts
  • investors

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