Journal of Banking & Finance Vol. 72 2016
Commodities momentum: A behavioral perspective
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.
- DOI
- 10.1016/j.jbankfin.2016.08.002
- Volume
- 72
- Pages
- 133-150
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib