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285th Biweekly Academic Forum

Published:2019-06-20  Views:


Topic:Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Returns


Speaker:Xuan MO, a PhD Candidate from School of Statistics and Mathematics of CUFE,mainly researches in asset pricing and bulk commodity. Xuan MO’s working paperswere once selected into 2019 Commodity and Energy Markets AssociationInternational Conference, and Xuan MO was invited to give speeches by American Universitiessuch as Tepper School of Business at Carnegie Mellon University.


Time: 12:30-13:30,Wednesday,June 26, 2019


Venue:Room 910, Main Building in City Campus of CUFE


Moderator:Yifeng ZHU, Assistant Professor of School of Finance at CUFE


Abstract: We examine the ability of idiosyncratic skewness and coskewness to explain thecross section of commodity returns at the characteristics and factor levels,and find that idiosyncratic skewness is significantly related to the crosssection of commodity returns, whereas coskewness is not. Furthermore, we construct a tradeable factor based on idiosyncratic skewness and find that itis 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.

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