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Long-Short Commodity Investing: A Review of the Literature · Study

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ArticleLong-Short Commodity Investing: A Review of the Literature

Joëlle Miffre2015

OA

Articlegreen2015

Long-Short Commodity Investing: A Review of the Literature

62 citations·0/0 files stored·Journal of commodity markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions n.d.A model of investor sentiment /1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

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2018Factor Based Commodity Investing 2019Time‐series momentum in China's commodity futures market 2019They're back! Post-financialization diversification benefits of commodities

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Details

Year2015

Typearticle

Published2015-01-01

VenueJournal of commodity markets

ISSN-L2405-8505

Languageen

Citations62

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jcomm.2016.01.001

openalex_workW3124284274

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