商品期货中有特殊的不对称定价吗？

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2023-05-22 DOI:10.1111/jfir.12339

Yufeng Han, Xuan Mo, Zhi Su, Yifeng Zhu

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引用次数: 0

摘要

在本文中，我们使用最近引入的不对称测度IE来衡量商品期货收益的特质不对称，并发现特质不对称对商品期货收益具有负向和显著的横截面预测。此外，我们发现基于特质不对称的多空交易策略产生了显著的异常收益，这是商品期货传统风险因素无法解释的，并且持续时间长达12个月。此外，特殊不对称似乎是具有显著风险溢价的商品期货的定价因素。最后，我们证实IE比传统的偏度度量更能捕捉特质不对称的定价效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Is idiosyncratic asymmetry priced in commodity futures?

In this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic asymmetry of commodity futures returns and find that idiosyncratic asymmetry negatively and significantly predicts commodity futures returns cross sectionally. Furthermore, we find that a long–short trading strategy based on idiosyncratic asymmetry generates significant abnormal returns, which cannot be explained by traditional risk factors in commodity futures and persists up to 12 months. Moreover, idiosyncratic asymmetry appears to be a priced factor in commodity futures with significant risk premium. Finally, we confirm that IE is better at capturing the pricing effect of idiosyncratic asymmetry than the traditional skewness measure.

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.