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Persistent link: https://www.econbiz.de/10011673677
This article uses the Expectations Hypothesis (EH), one of the oldest theories in finance, to extract the information contained in the term structure of commodity futures prices. Under the powerful framework provided by the EH, we find a significant amount of predictability in commodity futures...
Persistent link: https://www.econbiz.de/10013112692
Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are...
Persistent link: https://www.econbiz.de/10012959999
We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...
Persistent link: https://www.econbiz.de/10012984051