Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 강형구 | - |
dc.date.accessioned | 2018-03-17T04:20:39Z | - |
dc.date.available | 2018-03-17T04:20:39Z | - |
dc.date.issued | 2014-09 | - |
dc.identifier.citation | In Finance Research Letters, September 2014, 11(3), p.282-288 | en_US |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.issn | 1544-6131 | - |
dc.identifier.uri | https://www.sciencedirect.com/science/article/abs/pii/S1544612313000676 | - |
dc.identifier.uri | http://hdl.handle.net/20.500.11754/48281 | - |
dc.description.abstract | The term structure of commodity futures is important information for traders and investors. Traditional term-structure strategies are static; they tend to use the slope of term structure at a given moment. Instead, our trading strategy uses the change of term structure and generates statistically significant return. It also produces significant abnormal return in excess of the traditional two factors, i.e. the returns from static-slope strategy and daily momentum. Thus, its return includes orthogonal information or excess return that standard static-slope and momentum strategies cannot explain. This suggests a novel risk factor in the asset class of commodity futures or robust trading opportunities. (C) 2013 Elsevier Inc. All rights reserved. | en_US |
dc.language.iso | en | en_US |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | en_US |
dc.subject | Commodity | en_US |
dc.subject | Futures | en_US |
dc.subject | Backwardation | en_US |
dc.subject | Contango | en_US |
dc.subject | Momentum | en_US |
dc.subject | Term structure dynamic-slope strategy | en_US |
dc.subject | MOMENTUM STRATEGIES | en_US |
dc.subject | HEDGING PRESSURE | en_US |
dc.subject | RISK PREMIUMS | en_US |
dc.subject | MARKETS | en_US |
dc.subject | PRICES | en_US |
dc.title | A new strategy using term-structure dynamics of commodity futures | en_US |
dc.type | Article | en_US |
dc.relation.no | 3 | - |
dc.relation.volume | 11 | - |
dc.identifier.doi | 10.1016/j.frl.2013.11.007 | - |
dc.relation.page | 282-288 | - |
dc.relation.journal | FINANCE RESEARCH LETTERS | - |
dc.contributor.googleauthor | Kim, Soo-Hyun | - |
dc.contributor.googleauthor | Kang, Hyoung-Goo | - |
dc.relation.code | 2014029628 | - |
dc.sector.campus | S | - |
dc.sector.daehak | SCHOOL OF BUSINESS[S] | - |
dc.sector.department | DEPARTMENT OF FINANCIAL MANAGEMENT | - |
dc.identifier.pid | hyoungkang | - |
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