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
Hauptverfasser:	Shen, Qian, Szakmary, Andrew C., Sharma, Subhash C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset valuation Capital market Commodities Commodity futures Financial research Futures Futures market Investment policy Profitability Profits Securities analysis Studies Transaction costs
Online-Zugang:	Volltext
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