Skewness Strategies in Commodity Futures Markets

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre: Investors are known to display a preference for equities with positive skews (or lottery-like payoffs) and an aversion to equities with negative skews (or those for which the probability of large losses is higher than that of similar large gains).

Author(s) :

Adrian Fernandez-Perez

Auckland University of Technology

Bart Frijns

Auckland University of Technology

Ana-Maria Fuertes

Cass Business School

Joelle Miffre

EDHEC Business School, EDHEC-Risk Institute

Presentation :

As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be underpriced and thus offer high expected returns. While the pattern is well documented in the equity market literature (see, for example, Amaya et al., 2015, for some recent evidence), the question as to whether skewness matters to the pricing of commodity futures has not yet been addressed. This article is aimed at filling that gap in the literature by designing and analysing the performance of novel skewness strategies in commodity futures markets. Special attention is devoted to testing the robustness of our results and to the strategic role of the newly-designed skewness portfolio as an inflation hedge and as a risk diversifier.
Pdf
Skewness Strategies in Commodity Futures Markets...
(1,004.19 KB)
Type : Working paper
Date : le 16/11/2015
Extra information : For more information, please contact EDHEC Research and Development Department [research@drd.edhec.edu]
Research Cluster : Finance

See Also

OTHERWISE#4 is online !
- 23-03-2017
One of EDHEC’s hallmarks is “being where it is not expected to be” and OTHERWISE...
Support the new generation of students
- 20-03-2017
Support the new generation of students Act for EDHEC! Many Alumni in the UK have...
Emmanuel Metais named new Dean of EDHEC Business School
- 17-03-2017
EDHEC Business School is pleased to announce Emmanuel Métais’s appointment as the new...
MSc in Data Analytics & Digital Business: a new master designed to bridge the gap between data specialists and decision makers
- 13-03-2017
EDHEC Business School is pleased to announce the launch of a new MSc in Data Analytics...