DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kwon, Kyung Yoon | ko |
dc.date.accessioned | 2019-12-20T06:21:05Z | - |
dc.date.available | 2019-12-20T06:21:05Z | - |
dc.date.created | 2019-09-24 | - |
dc.date.issued | 2019-12 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.39, no.12, pp.1489 - 1514 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/270021 | - |
dc.description.abstract | This paper explores the benefits of extending the investment universe to commodity futures, from the perspective of momentum traders. We find that the growth-optimal portfolio includes negative (positive) weights on commodity futures losers (stock winners). Motivated by this finding, we construct a joint momentum strategy, buying stock winners and selling commodity futures losers, and show that it generates an average monthly return of up to 1.91% and provides much lower skewness (0.04) and kurtosis (1.27) than a traditional stock momentum strategy. It also greatly improves profitability, especially in unfavorable market states, and thus effectively manages tail risk. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | How about selling commodity futures losers? | - |
dc.type | Article | - |
dc.identifier.wosid | 000484260800001 | - |
dc.identifier.scopusid | 2-s2.0-85071357608 | - |
dc.type.rims | ART | - |
dc.citation.volume | 39 | - |
dc.citation.issue | 12 | - |
dc.citation.beginningpage | 1489 | - |
dc.citation.endingpage | 1514 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.22051 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kwon, Kyung Yoon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | commodity futures | - |
dc.subject.keywordAuthor | market anomalies | - |
dc.subject.keywordAuthor | momentum | - |
dc.subject.keywordAuthor | momentum crashes | - |
dc.subject.keywordAuthor | tail risk | - |
dc.subject.keywordPlus | MOMENTUM STRATEGIES | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | MARKET | - |
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