Commodities momentum: A behavioral perspective |
| |
Institution: | 1. Research Institute of Economics and Management, Southwestern University of Finance and Economics, Chengdu, China;2. Western China Economic Research Center, Southwestern University of Finance and Economics, Chengdu, China |
| |
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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|