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dc.contributor.authorCalder, Dan
dc.contributor.authorO'Grady, Thomas (Barry)
dc.date.accessioned2017-01-30T15:30:33Z
dc.date.available2017-01-30T15:30:33Z
dc.date.created2009-07-21T20:01:56Z
dc.date.issued2009
dc.identifier.citationCalder, Dan and O'Grady, Thomas (Barry). 2009. Commodity futures and momentum trading: implications for behavioural finance, School of Economics and Finance Working Paper Series: no.09.01, Curtin University of Technology, School of Economics and Finance.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/47003
dc.description.abstract

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy yielding a return of 7.7% a year. This return is found to be substantially higher during specific periods of the sample. The strategy?s average abnormal gain caused by the continuation of returns is shown to be robust to the risk based explanations posited by many authors of the topic. Since the risk explanations do not hold for the momentum anomaly, the alternative explanation indicates towards market inefficiency. The results from this study indicate that market inefficiency is a plausible explanation for momentum profits as realised. Specifically, the abnormal profits seem to be a consequence of irrational investor behaviour, which tends to lead to an under-reaction to new market information.

dc.publisherSchool of Economics and Finance, Curtin Business School
dc.subjectMomentum
dc.subjectunder-reaction hypothesis
dc.subjectcontrarian
dc.subjectirrational investors
dc.subjectoverreaction hypothesis
dc.subjectefficient market hypothesis
dc.titleCommodity futures and momentum trading: implications for behavioural finance
dc.typeWorking Paper
dcterms.source.volume09.01
dcterms.source.seriesSchool of Economics and Finance Working Paper Series
curtin.accessStatusOpen access
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance


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