Combining momentum with reversal in commodity futures
Robert J. Bianchi, Michael E. Drew, John Hua Fan (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Australia)
| Year of publication: |
October 2015
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|---|---|
| Authors: | Bianchi, Robert ; Drew, Michael E. ; Fan, John Hua |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 423-444
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| Subject: | Commodity futures | Momentum | Reversal | Double-sort strategy | Seasonality | Funding liquidity | Rohstoffderivat | Commodity derivative | Anlageverhalten | Behavioural finance | Saisonale Schwankungen | Seasonal variations | Portfolio-Management | Portfolio selection | Investmentfonds | Investment Fund | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544644