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Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility

  • Published:2014-02-17 Issue:3 Volume:35 Page:274-297
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Fuertes Ana-Maria1,Miffre Joëlle2,Fernandez-Perez Adrian3

Affiliation:

1. Ana-Maria Fuertes is a Professor of Financial Econometrics; Cass Business School; City University; London England

2. Joëlle Miffre is a Professor of Finance; EDHEC Business School; Nice France

3. Adrian Fernandez-Perez is a Research Fellow; Auckland University of Technology; Auckland New Zealand

Funder

INQUIRE

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference50 articles.

1. Stock selection in emerging markets: Portfolio strategies for Malaysia, Mexico and South Africa;Achour;Emerging Markets Quarterly,1998

2. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006

3. High idiosyncratic volatility and low returns: International and further U.S. evidence;Ang;Journal of Financial Economics,2009

4. Bakshi , G. Gao , X. Rossi , A. 2013

5. Idiosyncratic volatility and the cross-section of expected returns;Bali;Journal of Financial and Quantitative Analysis,2008

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