Do momentum and reversal strategies work in commodity futures? A comprehensive study

Zhang, H. orcid.org/0000-0002-8727-4906 and Urquhart, A. (2020) Do momentum and reversal strategies work in commodity futures? A comprehensive study. Review of Behavioral Finance. ISSN 1940-5979

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Copyright, Publisher and Additional Information: © 2020 Emerald Group Publishing. This is an author-produced version of a paper subsequently published in Review of Behavioural Finance. This version is distributed under the terms of the Creative Commons Attribution-NonCommercial Licence (http://creativecommons.org/licenses/by-nc/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. You may not use the material for commercial purposes.
Keywords: Commodity futures; Momentum; Reversal; Formation-holding windows; Herding
Dates:
  • Accepted: 25 November 2019
  • Published (online): 21 April 2020
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 27 Apr 2020 10:43
Last Modified: 27 Apr 2020 10:43
Status: Published online
Publisher: Emerald
Refereed: Yes
Identification Number: https://doi.org/10.1108/rbf-05-2019-0067

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