Borgards, Oliver; Czudaj, Robert L. - In: International Journal of Finance & Economics 28 (2022) 4, pp. 3511-3528
This paper tests the hypothesis that long‐short speculators are able to generate short‐term investment returns based on their sentiment for 12 agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of...