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- W3178509091 endingPage "106238" @default.
- W3178509091 startingPage "106238" @default.
- W3178509091 abstract "We perform the longest study of long-run reversal in commodity returns. Using a unique dataset of 52 agricultural, industrial, and energy commodities, we examine the price behavior for the years 1265 to 2017. The findings reveal a strong and robust long-run reversal effect. The returns of the past one to three years negatively predict subsequent performance in the cross-section of returns. The effect is robust to extensive subsample and subperiod analysis, and not driven by statistical biases, extreme events, or macroeconomic risks. Our findings support the explanation that the long-term reversal originates from supply and demand adjustments following price changes. Finally, the phenomenon is elevated in more volatile commodities and in periods of high return dispersion." @default.
- W3178509091 created "2021-07-19" @default.
- W3178509091 creator A5003712411 @default.
- W3178509091 creator A5040941823 @default.
- W3178509091 creator A5041390785 @default.
- W3178509091 date "2021-12-01" @default.
- W3178509091 modified "2023-09-27" @default.
- W3178509091 title "Long-run reversal in commodity returns: Insights from seven centuries of evidence" @default.
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