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

大宗商品動量策略：行為學視角

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

摘要：與大宗商品相關的投資活動的增加使得更多人開始關注動量策略在該領域的績效。本文所介紹的一年期強弱動量特征，在控制了大宗商品特性風險因子後，能夠解釋傳統動量策略收益率波動的很大一部分。我們的研究顯示，在考慮了交易成本後，一年期的強動量帶來了顯著收益。我們報告的觀點是：一年期的強動量策略比傳統的動量能更好地預測收益率。我們的研究還顯示，期限結構和套期保值壓力風險因子僅僅為收益率提供了部分解釋。

關鍵詞：一年期強動量，期限結構，套期保值壓力，保守主義，适應性市場，流動性

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

原文鍊接：

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

翻譯：郎彪