Combining momentum with reversal in commodity futures
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DOI: 10.1016/j.jbankfin.2015.07.006
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More about this item
Keywords
Commodity futures; Momentum; Reversal; Double-sort strategy; Seasonality; Funding liquidity;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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