SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Trend-following trading strategies in commodity futures: A re-examination
16 references·16 citing·39 second hopsampled
Trend-following trading strategies in commodity futures: A re-examination (2009)Trend-following trading strategies in com…WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)WHAT DO WE KNOW ABOUT THE PRO…Momentum strategies in commodity futures markets (2007)Momentum strategies in commod…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Are Momentum Profits Robust to Trading Costs? (2004)Are Momentum Profits Robust t…The illusory nature of momentum profits (2003)The illusory nature of moment…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Profitability of Momentum Strategies in the International Equity Markets (2000)Profitability of Momentum Str…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…International Momentum Strategies (1998)International Momentum Strate…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Technical trading and cryptocurrencies (2019)Technical trading and cryptoc…Forecasting commodity prices out-of-sample: Can technical indicators help? (2019)Forecasting commodity prices …Economic significance of commodity return forecasts from the fractionally cointegrated VAR model (2017)Economic significance of comm…Predicting the oil prices: Do technical indicators help? (2016)Predicting the oil prices: Do…A trend factor: Any economic gains from using information over investment horizons? (2016)A trend factor: Any economic …Two centuries of trend following (2014)Two centuries of trend follow…Stock trading rule discovery with an evolutionary trend following model (2014)Stock trading rule discovery …Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets? (2014)Do Momentum‐Based Trading Str…Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility (2014)Commodity Strategies Based on…Capturing the risk premium of commodity futures: The role of hedging pressure (2013)Capturing the risk premium of…An analysis of commodity markets: What gain for investors? (2013)An analysis of commodity mark…Sufficient conditions for expected utility to imply drawdown-based performance rankings (2011)Sufficient conditions for exp…Performance of technical analysis in growth and small cap segments of the US equity market (2011)Performance of technical anal…Momentum Strategies in Futures Markets and Trend-following Funds (2011)Momentum Strategies in Future…Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)Tactical allocation in commod…Corporate derivatives use and the cost of equity (2010)Corporate derivatives use and…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)The General Theory of Employment, Interest and Money. (1936)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies (1998)Momentum, Business Cycle, and Time‐varying Expected Returns (2002)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)Momentum crashes (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)Investor Psychology and Security Market Under‐ and Overreactions (1998)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)Style investing (2003)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Prospect theory, mental accounting, and momentum (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 1998An Anatomy of Trading Strategies858 cited
  • 2003The illusory nature of momentum profits657 cited
  • 2007WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?609 cited
  • 2004Are Momentum Profits Robust to Trading Costs?571 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2007Momentum strategies in commodity futures markets461 cited
  • 2000

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Profitability of Momentum Strategies in the International Equity Markets
446 cited

Cited by

  • 2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals211 cited
  • 2013Capturing the risk premium of commodity futures: The role of hedging pressure203 cited
  • 2016A trend factor: Any economic gains from using information over investment horizons?188 cited
  • 2013An analysis of commodity markets: What gain for investors?167 cited
  • 2014Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?138 cited
  • 2016Predicting the oil prices: Do technical indicators help?138 cited
  • 2011Performance of technical analysis in growth and small cap segments of the US equity market108 cited
  • 2011Momentum Strategies in Futures Markets and Trend-following Funds102 cited
  • 2011Sufficient conditions for expected utility to imply drawdown-based performance rankings99 cited
  • 2010Corporate derivatives use and the cost of equity90 cited
  • 2019Technical trading and cryptocurrencies90 cited
  • 2014Two centuries of trend following90 cited
  • 2019Forecasting commodity prices out-of-sample: Can technical indicators help?89 cited
  • 2014Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility73 cited
  • 2014Stock trading rule discovery with an evolutionary trend following model70 cited
  • 2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model64 cited