Skewness and index futures return
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DOI: 10.1002/fut.22112
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… read more here.
Keywords: index; skewness index; qunzi zhang; futures return ... See more keywords