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更多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