Aalto, Antti; Nikkinen, Jussi; Peltomaki, Jarkko; … - In: International Journal of Accounting and Finance 3 (2011) 1, pp. 21-32
This paper examines the profitability and diversification benefits of momentum strategies in commodity futures markets. The results indicate that momentum strategies on the Goldman Sachs Commodity Index (GSCI) futures provide positive abnormal returns for short and intermediate time horizons....
