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- W4320730802 abstract "This paper takes a cross-country and cross-sector perspective to investigate the drivers of commodity momentum strategies. Commodity momentum strategies deployed in the U.S. and Chinese markets generate positive average returns with non-negligible correlations, but their premia are primarily local, and their return characteristics are distinct. A prevalent sector effect explains a significant fraction of momentum profits in both markets, suggesting that long-short commodity futures momentum may be riskier than previously thought. Overall, our findings suggest commodity momentum is more consistent with a risk-based explanation in U.S. markets whereas risk alone is difficult to capture the premia in China." @default.
- W4320730802 created "2023-02-15" @default.
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- W4320730802 date "2023-03-01" @default.
- W4320730802 modified "2023-09-25" @default.
- W4320730802 title "Commodity momentum: A tale of countries and sectors" @default.
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- W4320730802 doi "https://doi.org/10.1016/j.jcomm.2023.100315" @default.
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