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Do commodities make effective hedges for equity investors?

Olson, Eric; Vivian, Andrew; Wohar, Mark E. - In: Research in international business and finance 42 (2017), pp. 1274-1288

Persistent link: https://www.econbiz.de/10011760993

Measuring index investment in commodity futures markets

Sanders, Dwight R.; Irwin, Scott H. - In: The energy journal 34 (2013) 3, pp. 105-127

Persistent link: https://www.econbiz.de/10009771880

Understanding momentum in commodity markets

Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402

Persistent link: https://www.econbiz.de/10010203400

An analysis of commodity markets : what gain for investors?

Narayan, Paresh Kumar; Narayan, Seema; Sharma, Susan Sunila - In: Journal of banking & finance 37 (2013) 10, pp. 3878-3889

Persistent link: https://www.econbiz.de/10010127429

The alpha momentum effect in commodity markets

Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012643310

Commodity Momentum Decomposition

Iwanaga, Yasuhiro; Sakemoto, Ryuta - 2022

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...

Persistent link: https://www.econbiz.de/10013403618