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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
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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
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Commodities returns' volatility in financialization era
Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362
Persistent link: https://www.econbiz.de/10011961063
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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
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Commodity correlation risk
Byrne, Joseph P.; Sakemoto, Ryuta - 2022
Persistent link: https://www.econbiz.de/10013478831
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Commodity momentum : a tale of countries and sectors
Fan, John Hua; Qiao, Xiao - In: Journal of commodity markets 29 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014277613
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The evolution of commodity market financialization : implications for portfolio diversification
Fry-McKibbin, Renée; McKinnon, Kate - In: Journal of commodity markets 32 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014495604
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Commodity momentum decomposition
Iwanaga, Yasuhiro; Sakemoto, Ryuta - In: The journal of futures markets 43 (2023) 2, pp. 198-216
Persistent link: https://www.econbiz.de/10014292998
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Does herd behaviour exist in the commodities market?
Philippas, Nikolaos - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 330-344
Persistent link: https://www.econbiz.de/10010472813
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Expected commodity returns and pricing models
Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - In: Energy economics 49 (2015), pp. 60-71
Persistent link: https://www.econbiz.de/10011536656