An examination of momentum strategies in commodity futures markets

@inproceedings{Shen2007AnEO,
  title={An examination of momentum strategies in commodity futures markets},
  author={Qian Shen and Andrew Charles Szakmary and Subhash C. Sharma},
  year={2007}
}
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… CONTINUE READING

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