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Momentum in International Commodity Futures Markets

  • Published:2017-02-01 Issue:8 Volume:37 Page:803-835
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Kang Jangkoo1,Kwon Kyung Yoon1

Affiliation:

1. Jangkoo Kang and Kyung Yoon Kwon are at the College of Business, Korea Advanced Institute of Science and Technology, Seoul, South Korea

Publisher

Wiley

Subject

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

Reference27 articles.

1. The interaction of value and momentum strategies;Asness;Financial Analyst Journal,1997

2. Value and momentum everywhere;Asness;Journal of Finance,2013

3. On the diversification benefits of commodities from the perspective of euro investors;Belousova;Journal of Banking and Finance,2012

4. On persistence in mutual fund performance;Carhart;Journal of Finance,1997

5. Momentum, business cycle, and time-varying expected returns;Chordia;Journal of Finance,2002

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