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dc.contributor.authorBianchi, Robert J.
dc.contributor.authorDrew, Michael E.
dc.contributor.authorFan, John H.
dc.contributor.editorNeupane, Suman
dc.contributor.editorRoca, Eduardo
dc.date.accessioned2020-01-16T08:01:12Z
dc.date.available2020-01-16T08:01:12Z
dc.date.issued2015
dc.identifier.issn1836-8123en_US
dc.identifier.otherRePEc:gri:fpaper:finance:201510
dc.identifier.urihttp://hdl.handle.net/10072/390378
dc.description.abstractConventional momentum strategies rely on 12 months of past returns for portfolio formation. Novy-Marx (2012) shows that the intermediate return momentum strategy formed using only twelve to seven months of returns prior to portfolio formation significantly outperforms the recent return momentum formed using six to two month returns prior. This paper proposes a more granular strategy termed 'microscopic momentum', which further decomposes the intermediate and recent return momentum into single-month momentum components. The novel decomposition reveals that a microscopic momentum strategy generates persistent economic profits even after controlling for sector-specific or month-of-year commodity seasonality effects. Moreover, we show that the intermediate return momentum in the commodity futures must be considered largely illusory, and all 12 months of past returns play important roles in determining the conventional momentum profits.en_US
dc.format.extent47 pages
dc.languageEnglish
dc.publisherGriffith Universityen_US
dc.publisher.placeBrisbane, Australiaen_US
dc.relation.ispartofpagefrom1en_US
dc.relation.ispartofpageto47en_US
dc.subject.keywordsG11 - Portfolio Choice; Investment Decisions
dc.subject.keywordsG14 - Information and Market Efficiency; Event Studies
dc.subject.keywordsG13 - Contingent Pricing; Futures Pricing; option pricing
dc.subject.keywordsCommodity Futuresen_US
dc.subject.keywordsConventional Momentumen_US
dc.subject.keywordsEchoen_US
dc.subject.keywordsMicroscopic Momentumen_US
dc.title2015-10: Microscopic momentum in commodity futures (Working paper)en_US
dc.typeReporten_US
dc.type.descriptionDiscussion Paperen_US
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2015
gro.hasfulltextFull Text
gro.griffith.authorBianchi, Robert
gro.griffith.authorDrew, Michael E.
gro.griffith.authorFan, John H.


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