Journal of Banking and Finance ·Volume 86, JAN 2018

商品期货收益的偏度

作者：Adrian Fernandez-Perez (Auckland University of Technology)

Bart Frijns (Auckland University of Technology)

Ana-Maria Fuertes (Cass Business School, City University London)

Joelle Miffre (Audencia Business School)

摘要：本文研究商品期货收益的偏度与期望收益之间的关系。通过做多具有最负偏度的商品期货，做空具有最正偏度的商品期货的交易策略，可以在控制众所周知的风险因子之后，获得显著的超额收益。一个可交易的偏度因子解释了商品期货的横截面收益超出标准风险溢价。偏度对期货收益的影响可以通过投资者在累积前景理论和选择性套期保值实践下对偏度的偏好来解释。

关键词：偏度，商品，期货价格，选择性套期保值

The skewness of commodity futures returns

Adrian Fernandez-Perez (Auckland University of Technology), Bart Frijns(Auckland University of Technology), Ana-Maria Fuertes(Cass Business School, City University London), Joelle Miffre(Audencia Business School)

ABSTRACT

This 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.

Keywords: Skewness; Commodities; Futures pricing; Selective hedging

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617301504

翻译：张展