Value and momentum from investors' perspective: Evidence from professionals' risk-ratings

Christoph Merkle, Christoph J. Sextroh

Research output: Contribution to journalArticleScientificpeer-review


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
Pages (from-to)159-178
JournalJournal of Empirical Finance
Publication statusPublished - Jun 2021


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


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