Commodity momentum decomposition |
| |
Authors: | Yasuhiro Iwanaga Ryuta Sakemoto |
| |
Institution: | 1. The Faculty of Economic Sciences, Hiroshima Shudo University, Hiroshima-ken, Japan;2. Faculty of Humanities and Social Sciences, Okayama University, Okayama-ken, Japan |
| |
Abstract: | This study decomposes the momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self-attribution. In contrast, HTP is linked to investors' underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP. |
| |
Keywords: | commodity futures decomposition momentum |
|
|