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Commodities momentum: A behavioral perspective
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DOI：10.1016/j.jbankfin.2016.08.002.png)
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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. (C) 2016 Elsevier B.V. All rights reserved.
Keyword:
52-week high momentum
Term structure
Hedging pressure
Conservatism
Adaptive markets
Liquidity
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3.8
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2.4W
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