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Commodities momentum: A behavioral perspective

Listed author(s):
  • Bianchi, Robert J.
  • Drew, Michael E.
  • Fan, John Hua

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378426616301418
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 72 (2016)
Issue (Month): C ()
Pages: 133-150

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Handle: RePEc:eee:jbfina:v:72:y:2016:i:c:p:133-150
DOI: 10.1016/j.jbankfin.2016.08.002
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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