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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.… Click to show full 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. ∗Corresponding author: Qunzi Zhang, Shandong University, Jinan, P.R. China. Email address: [email protected]. Qunzi Zhang acknowledges financial support from Humanity and Social Science Youth Foundation of Ministry of Education of China (No. 18YJC790221) and China Postdoctoral Science Foundation (No. 2018M632647).
Journal Title: Journal of Futures Markets
Year Published: 2020
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