Skewness and index futures return

Document Type

Article

Publication Date

11-1-2020

Abstract

In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the current business cycle conditions. We also find that individual skewness performs very well at predicting index futures returns out-of-sample.

Identifier

85081339583 (Scopus)

Publication Title

Journal of Futures Markets

External Full Text Location

https://doi.org/10.1002/fut.22112

e-ISSN

10969934

ISSN

02707314

First Page

1648

Last Page

1664

Issue

11

Volume

40

Grant

19CJRJ19

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