I have an rm command that does not work in a Makefile but when I copy it to the shell it works:

$ make clean
rm paper.{abs,blg,pdf,aux,log,bbl,out,xmpdata}
rm: cannot remove 'paper.{abs,blg,pdf,aux,log,bbl,out,xmpdata}': No such file or directory
make: *** [Makefile:8: clean] Error 1
$ rm paper.{abs,blg,pdf,aux,log,bbl,out,xmpdata}
$

What can cause this? The file rights seem to be OK. I tried using double quotes and apostrophes around the filename expression but neither worked.