Commodities as Lotteries: Skewness and the Returns of Commodity Futures
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewne ...
Auteur(s) :
Auckland University of Technology
Auckland University of Technology
Cass Business School
EDHEC Business School
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewness generates a significant excess return of 8% a year, which is not merely a compensation for the risks associated with backwardation and contango. Skewness is also found to explain the cross-section of commodity futures returns beyond exposures to the backwardation and contango risk factors previously identified. These results are robust to various alternative specifications and extend the documented importance of skewness in the equity market to the commodity futures markets.
| Type : | Working paper |
|---|---|
| Date : | le 23/05/2017 |
| Pôle de recherche | Finance |
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