An examination of momentum strategies in commodity futures markets

By Qian Shen, Andrew C. Szakmary, Subhash C. Sharma. 2007

112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fcef6542f5b19982402b8a787ba362d6f2d564bb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. D. Basu
2. Joëlle Miffre
3. Subhash C. Sharma
4. Qian Shen
5. Andrew C. Szakmary
6. Kenneth J. Singleton

In Finance

1. D. Basu
2. Joëlle Miffre
3. Kenneth J. Singleton

Citations in the corpus

• Trend-following trading strategies in commodity futures: A re-examination (2010, background): “discussion regarding whether intervention is responsible for trading rule profitability in foreign exchange markets, see Szakmary and Mathur (1997), LeBaron (1999) and Neely (2002).”
• Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure (2013, background): “Revisiting the Performance of Active Commodity Strategies The profitability of commodity-based momentum strategies is now well documented (Erb and Harvey, 2006; Miffre and Rallis, 2007; Shen et al., 2007; Szakmary et al. 2010).”