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Momentum and Mean-Reversion in Commodity Spot and Futures Markets
16 references·6 citing·36 second hop
Momentum and Mean-Reversion in Commodity Spot and Futures Markets (2016)Momentum and Mean-Reversion in Commodity …Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Time Series Momentum (2011)Time Series MomentumThe Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Prospect theory, mental accounting, and momentum (2005)Prospect theory, mental accou…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Foundations of Finance. (1977)Foundations of Finance.The Supply of Storage (1976)The Supply of StorageSpeculation and Economic Stability (1976)Speculation and Economic Stab…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Speculation and Economic Stability (1939)Speculation and Economic Stab…The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns (2019)The Long-Run Reversal in the …The Cross Section of Country Equity Returns: A Review of Empirical Literature (2019)The Cross Section of Country …Short-term momentum (almost) everywhere (2019)Short-term momentum (almost) …Modeling Investor Behavior Using Machine Learning: Mean‐Reversion and Momentum Trading Strategies (2019)Modeling Investor Behavior Us…Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models (2018)Mean reversion in internation…Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests (2018)Distributional predictability…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Financialization of Commodity Markets (2013)Momentum crashes (2016)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Are Investors Reluctant to Realize Their Losses? (1998)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The Cross-Section of Expected Stock Returns (1992)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Overconfidence and Trading Volume (2006)The Disposition Effect and Underreaction to News (2006)Sensation Seeking, Overconfidence, and Trading Activity (2009)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Editor's Choice Digesting Anomalies: An Investment ApproachFurther Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 2011Time Series Momentum1,470 cited
  • 1977Foundations of Finance.1,128 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2005Prospect theory, mental accounting, and momentum1,033 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1976The Supply of Storage533 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited

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Cited by

  • 2018Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests56 cited
  • 2019The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns37 cited
  • 2019Short-term momentum (almost) everywhere36 cited
  • 2019The Cross Section of Country Equity Returns: A Review of Empirical Literature33 cited
  • 2018Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models26 cited
  • 2019Modeling Investor Behavior Using Machine Learning: Mean‐Reversion and Momentum Trading Strategies25 cited