The Skewness of Commodity Futures Returns

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aut.relation.journalJournal of Banking and Financeen_NZ
aut.researcherFernandez Perez, Adrian
dc.contributor.authorFernandez Perez, Aen_NZ
dc.contributor.authorFrijns, Ben_NZ
dc.contributor.authorFuertes, AMen_NZ
dc.contributor.authorMiffre, Jen_NZ
dc.date.accessioned2017-10-01T21:06:55Z
dc.date.available2017-10-01T21:06:55Z
dc.date.copyright2017-09-25en_NZ
dc.date.issued2017-09-25en_NZ
dc.description.abstractThis article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk factors. A tradeable skewness factor explains the cross-section of commodity futures returns beyond exposures to standard risk premia. The impact that skewness has on future returns is explained by investors’ preferences for skewness under cumulative prospect theory and selective hedging practices.
dc.identifier.citationJournal of Banking & Finance, doi: 10.1016/j.jbankfin.2017.06.015
dc.identifier.doi10.1016/j.jbankfin.2017.06.015en_NZ
dc.identifier.issn0378-4266en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/10840
dc.publisherElsevieren_NZ
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S0378426617301504en_NZ
dc.rightsCopyright © 2017 Elsevier Ltd. All rights reserved. This is the author’s version of a work that was accepted for publication in (see Citation). Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. The definitive version was published in (see Citation). The original publication is available at (see Publisher's Version).
dc.rights.accessrightsOpenAccessen_NZ
dc.subjectSkewness; Commodities; Futures pricing; Selective hedging
dc.titleThe Skewness of Commodity Futures Returnsen_NZ
dc.typeJournal Article
pubs.elements-id313912
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/PBRF
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Finance Department PBRF 2018
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