Commodities momentum: A behavioral perspective

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• 作者：Robert J. Bianchi ; Michael E. Drew ; John Hua Fan ; ^{j.fan@griffith.edu.au" class="auth_mail" title="E-mail the corresponding author}
• 关键词：52-week high momentum ; Term structure ; Hedging pressure ; Conservatism ; Adaptive markets ; Liquidity
• 刊名：Journal of Banking & Finance
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：72
• 期：Complete
• 页码：133-150
• 全文大小：1126 K

文摘

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.