Commodity momentum decomposition
将商品期货市场的动量因子分解为高价比和比价高两个子因子，发现前者夏普比率更高，且两者的盈利机制不同：动量因子和比价高因子与投资者过度自信相关，而高价比因子与投资者反应不足和信息扩散有关。
Abstract This study decomposes the momentum factor (MOM) in the commodity futures market. A high‐to‐price (HTP) factor generates a higher Sharpe ratio than a price‐to‐high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self‐attribution. In contrast, HTP is linked to investors' underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP.