Affiliation:
1. Belk College of Business University of North Carolina at Charlotte Charlotte North Carolina USA
2. School of Economics and Management & Lab for Low‐Carbon Intelligent Governance Beihang University Beijing China
3. School of Statistics and Mathematics Central University of Finance and Economics Beijing China
4. School of Finance Central University of Finance and Economics Beijing China
Abstract
AbstractIn this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic asymmetry of commodity futures returns and find that idiosyncratic asymmetry negatively and significantly predicts commodity futures returns cross sectionally. Furthermore, we find that a long–short trading strategy based on idiosyncratic asymmetry generates significant abnormal returns, which cannot be explained by traditional risk factors in commodity futures and persists up to 12 months. Moreover, idiosyncratic asymmetry appears to be a priced factor in commodity futures with significant risk premium. Finally, we confirm that IE is better at capturing the pricing effect of idiosyncratic asymmetry than the traditional skewness measure.
Funder
National Natural Science Foundation of China
Cited by
1 articles.
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