DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kwon, Kyung Yoon | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Yun, Jaesun | ko |
dc.date.accessioned | 2021-11-30T06:41:59Z | - |
dc.date.available | 2021-11-30T06:41:59Z | - |
dc.date.created | 2021-11-29 | - |
dc.date.created | 2021-11-29 | - |
dc.date.created | 2021-11-29 | - |
dc.date.issued | 2021-11 | - |
dc.identifier.citation | FINANCE RESEARCH LETTERS, v.43 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | http://hdl.handle.net/10203/289671 | - |
dc.description.abstract | We analyze basis-momentum, the difference between the past 12 months' momentum in first- and second-nearby futures contracts suggested by Boons and Prado (2018). Since basis-momentum is related to the slope and the curvature over the ranking period, we split the 12-month ranking period into three subperiods-the current month, the past five months, and the six months before the previous five months-and construct three basis-momentums with them. Our results show that these three basis-momentums differ substantially in predicting future returns and have different economic determinants, namely, imbalance in the supply and demand and volatility risk in financial markets. | - |
dc.language | English | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.title | Basis-momentum strategies and ranking periods | - |
dc.type | Article | - |
dc.identifier.wosid | 000720832100034 | - |
dc.identifier.scopusid | 2-s2.0-85101960095 | - |
dc.type.rims | ART | - |
dc.citation.volume | 43 | - |
dc.citation.publicationname | FINANCE RESEARCH LETTERS | - |
dc.identifier.doi | 10.1016/j.frl.2021.101997 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kwon, Kyung Yoon | - |
dc.contributor.nonIdAuthor | Yun, Jaesun | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | futures | - |
dc.subject.keywordAuthor | Basis | - |
dc.subject.keywordAuthor | Momentum | - |
dc.subject.keywordAuthor | Basis-momentum | - |
dc.subject.keywordAuthor | Term structure | - |
dc.subject.keywordPlus | STOCHASTIC CONVENIENCE YIELD | - |
dc.subject.keywordPlus | COMMODITY FUTURES | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | BEHAVIOR | - |
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