Journal of Banking and Finance 72 (2016) 133–150

大宗商品动量策略：行为学视角

作者：Robert J. Bianchi, Michael E. Drew , JohnHua Fan (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University)

摘要：与大宗商品相关的投资活动的增加使得欧洲杯网站_欧洲杯下注平台-官网推荐人开始关注动量策略在该领域的绩效。本文所介绍的一年期强弱动量特征，在控制了大宗商品特性风险因子后，能够解释传统动量策略收益率波动的很大一部分。我们的研究显示，在考虑了交易成本后，一年期的强动量带来了显著收益。我们报告的观点是：一年期的强动量策略比传统的动量能更好地预测收益率。我们的研究还显示，期限结构和套期保值压力风险因子仅仅为收益率提供了部分解释。

关键词：一年期强动量，期限结构，套期保值压力，保守主义，适应性市场，流动性

Commodities momentum: A behavioral perspective

Robert J. Bianchi, Michael E. Drew , JohnHua Fan (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University)

Abstract: The growth in commodity-related investments has sparked interest in the performance of momentum strategies in these markets. This paper introduces a behavioral proxy of the 52-week high and low momentum that explains a significant proportion of the variation of conventional momentum returns after controlling for commodity specific risk factors. Our findings show that the 52-week high strategy generates significant profits after accounting for transaction costs. We report that the 52-week high strategy is a better predictor of returns than conventional momentum. Our findings suggest that term structure and hedging pressure risk factors provide only a partial explanation of the results.

Keywords: 52-week high momentum; Term structure; Hedging pressure; Conservatism; Adaptive markets; Liquidity

原文链接：

http://dx.doi.org/10.1016/j.jbankfin.2016.08.002

翻译：郎彪