Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088243 | Journal of Banking & Finance | 2016 | 18 Pages |
Abstract
The growth in commodity-related investments has sparked interest in the performance of momentum strategies in these markets. This paper introduces a behavioral proxy of the 52-week high and low momentum that explains a significant proportion of the variation of conventional momentum returns after controlling for commodity specific risk factors. Our findings show that the 52-week high strategy generates significant profits after accounting for transaction costs. We report that the 52-week high strategy is a better predictor of returns than conventional momentum. Our findings suggest that term structure and hedging pressure risk factors provide only a partial explanation of the results.
Related Topics
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Authors
Robert J. Bianchi, Michael E. Drew, John Hua Fan,