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- W2949830679 abstract "We are the first to document an alpha momentum effect in commodity markets. We demonstrate a strong cross-sectional relationship between future commodity returns and past alphas derived from pricing models that control for major risk factors. A strategy of going long (short) in commodities with the highest (lowest) alphas delivers economically and statistically significant payoffs and produces higher risk-adjusted returns that are approximately double the standard price momentum. Alpha momentum is not subsumed by conventional risk factors, including price momentum although price momentum is subsumed by alpha momentum. Our results are robust to numerous considerations, including alternative evaluation models, different holding periods, trading costs, subperiod analysis and alternative implementation techniques." @default.
- W2949830679 created "2019-06-27" @default.
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- W2949830679 date "2021-01-01" @default.
- W2949830679 modified "2023-10-18" @default.
- W2949830679 title "The alpha momentum effect in commodity markets" @default.
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- W2949830679 doi "https://doi.org/10.1016/j.eneco.2019.06.006" @default.
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