An examination of momentum strategies in commodity futures markets
Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been reporte...
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| Veröffentlicht in: | The journal of futures markets 2007-03, Vol.27 (3), p.227-256 |
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| container_title | The journal of futures markets |
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| creator | Shen, Qian Szakmary, Andrew C. Sharma, Subhash C. |
| description | Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been reported in stocks. The profits documented are too large to be subsumed by transactions costs. Although the momentum strategies appear to be quite risky, their profitability cannot be fully accounted for in the context of a market factor model. Further, it is shown that momentum profits eventually reverse if positions are maintained long enough after portfolio formation. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:227–256, 2007 |
| doi_str_mv | 10.1002/fut.20252 |
| format | Article |
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Jrl Fut Mark 27:227–256, 2007</description><subject>Asset valuation</subject><subject>Capital market</subject><subject>Commodities</subject><subject>Commodity futures</subject><subject>Financial research</subject><subject>Futures</subject><subject>Futures market</subject><subject>Investment policy</subject><subject>Profitability</subject><subject>Profits</subject><subject>Securities analysis</subject><subject>Studies</subject><subject>Transaction costs</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><recordid>eNp1kE9Lw0AQxRdRsFYPfoPgQfCQdvZvkmMttgqlXloVL8s22cjWblazG2y_valRD4KngeH33sx7CJ1jGGAAMiybMCBAODlAPQyZiLOMskPUA5JAnFDMjtGJ92sAyDIGPXQ9qiK9VdZUKhhXRa6MrLO6Co2NfKhV0C9G-8hUUe6sdYUJu6i90dTt0qr6VQd_io5KtfH67Hv20XJysxjfxrP76d14NItzxlMSU5zqUhGSQ5IUWmcrwUXJaV4owcsVkKLAnAHjeYqhwFopyBQrcFnQhGWCCtpHl53vW-3eG-2DtMbnerNRlXaNl1QIQbHYgxd_wLVr6qr9TRKMCU85hxa66qC8dt7XupRvtWkT7SQGua9StjHlV5UtO-zYD7PRu_9BOVkufhRxpzA-6O2voi1MioQmXD7Op_JhkjzNn8dYzuknZ8GEXA</recordid><startdate>200703</startdate><enddate>200703</enddate><creator>Shen, Qian</creator><creator>Szakmary, Andrew C.</creator><creator>Sharma, Subhash C.</creator><general>Wiley Subscription Services, Inc., A Wiley Company</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200703</creationdate><title>An examination of momentum strategies in commodity futures markets</title><author>Shen, Qian ; Szakmary, Andrew C. ; Sharma, Subhash C.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4582-318efa22c077dee9b656f53cda65fb02dd154045c810d1eaa09a4d1fd37496363</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Asset valuation</topic><topic>Capital market</topic><topic>Commodities</topic><topic>Commodity futures</topic><topic>Financial research</topic><topic>Futures</topic><topic>Futures market</topic><topic>Investment policy</topic><topic>Profitability</topic><topic>Profits</topic><topic>Securities analysis</topic><topic>Studies</topic><topic>Transaction costs</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Shen, Qian</creatorcontrib><creatorcontrib>Szakmary, Andrew C.</creatorcontrib><creatorcontrib>Sharma, Subhash C.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Shen, Qian</au><au>Szakmary, Andrew C.</au><au>Sharma, Subhash C.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>An examination of momentum strategies in commodity futures markets</atitle><jtitle>The journal of futures markets</jtitle><addtitle>J. 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| ispartof | The journal of futures markets, 2007-03, Vol.27 (3), p.227-256 |
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| language | eng |
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| source | Wiley Journals; EBSCOhost Business Source Complete |
| subjects | Asset valuation Capital market Commodities Commodity futures Financial research Futures Futures market Investment policy Profitability Profits Securities analysis Studies Transaction costs |
| title | An examination of momentum strategies in commodity futures markets |
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