Commodity momentum decomposition

Yasuhiro Iwanaga and Ryuta Sakemoto

Journal of Futures Markets, 2023, vol. 43, issue 2, 198-216

Abstract: This study decomposes the momentum factor (MOM) in the commodity futures market. A high‐to‐price (HTP) factor generates a higher Sharpe ratio than a price‐to‐high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self‐attribution. In contrast, HTP is linked to investors' underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1002/fut.22382

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:43:y:2023:i:2:p:198-216

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().