RECHERCHE ET PUBLICATIONS

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) :

Adrian Fernández-Pérez

Auckland University of Technology

Bart Frijns

Auckland University of Technology

Ana-Maria Fuertes

Cass Business School

Joëlle Miffre

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

A voir également

L'EDHEC dans le Top 10 mondial du classement FT Executive Education 2022
Actualités
- 23-05-2022
Sur le marché international de la formation continue, le Financial Times confirme l'...
L’EDHEC s’associe à VIVATECH 2022 et offre 400 places aux étudiants EDHEC
Actualités
- 20-05-2022
L’EDHEC est à nouveau partenaire de l’événement tech incontournable de l’année, Viva...
L’EDHEC, 4e grande école en France selon le Palmarès du Parisien 2022
Actualités
- 19-05-2022
Comme chaque année, Le Parisien s’interroge : ‘Quelles sont les meilleures grandes...
(Invitation) Inauguration de la Chaire Management in Innovative Health - 30 mai 2022, Paris
Actualités
- 17-05-2022
Emmanuel Métais, Directeur général EDHEC Business School et Christophe Durand, General...