Skewness and index futures return

Eric Jondeau; Xuewu Wang; Zhipeng Yan; Qunzi Zhang

doi:10.1002/fut.22112

Skewness and index futures return

Eric Jondeau, Xuewu Wang, Zhipeng Yan, Qunzi Zhang

MT School of Management

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

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.

Original language	English (US)
Pages (from-to)	1648-1664
Number of pages	17
Journal	Journal of Futures Markets
Volume	40
Issue number	11
DOIs	https://doi.org/10.1002/fut.22112
State	Published - Nov 1 2020

All Science Journal Classification (ASJC) codes

Accounting
General Business, Management and Accounting
Finance
Economics and Econometrics

Keywords

average skewness
index futures return
return predictability

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10.1002/fut.22112

Cite this

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title = "Skewness and index futures return",

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.",

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KW - return predictability

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Skewness and index futures return

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Access to Document

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