Commodities momentum: A behavioral perspective

No Thumbnail Available
File version
Author(s)
Bianchi, Robert J
Drew, Michael E
Fan, John Hua
Primary Supervisor
Other Supervisors
Editor(s)
Date
2016
Size
File type(s)
Location
License
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.

Journal Title

Journal of Banking & Finance

Conference Title
Book Title
Edition
Volume

72

Issue
Thesis Type
Degree Program
School
Publisher link
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
Item Access Status
Note
Access the data
Related item(s)
Subject

Banking, finance and investment

Applied mathematics

Persistent link to this record
Citation
Collections