Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Returns

38 Pages Posted: 7 Jun 2019

See all articles by Yufeng Han

Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Xuan Mo

Central University of Finance and Economics

Zhi Su

Central University of Finance and Economics (CUFE)

Yifeng Zhu

School of Finance, Central University of Finance and Economics; Emory University

Date Written: May 21, 2019

Abstract

We examine the ability of idiosyncratic skewness and coskewness to explain the cross section of commodity returns at the characteristics and factor levels, and find that idiosyncratic skewness is significantly related to the cross section of commodity returns, whereas coskewness is not. Furthermore, we construct a tradeable factor based on idiosyncratic skewness and find that it is significantly priced cross-sectionally in commodity futures. In addition, a new measure of idiosyncratic skewness (IE) proposed by Jiang, Wu, Zhou, and Zhu (2018) is stronger and more robust in capturing the skewness or asymmetry effect at both the characteristics and factor levels.

Keywords: Total skewness; Idiosyncratic skewness; Coskewness; Commodity futures return

JEL Classification: G13; G14

Suggested Citation

Han, Yufeng and Mo, Xuan and Su, Zhi and Zhu, Yifeng, Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Returns (May 21, 2019). Available at SSRN: https://ssrn.com/abstract=3391784 or http://dx.doi.org/10.2139/ssrn.3391784

Yufeng Han (Contact Author)

University of North Carolina (UNC) at Charlotte - Finance ( email )

9201 University City Boulevard
Charlotte, NC 28223
United States

Xuan Mo

Central University of Finance and Economics ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Zhi Su

Central University of Finance and Economics (CUFE) ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Yifeng Zhu

School of Finance, Central University of Finance and Economics ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Emory University ( email )

Atlanta, GA 30322
United States
2022791278 (Phone)

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