Publication Type

Conference Paper

Version

acceptedVersion

Publication Date

12-2018

Abstract

This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities’ future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the difference between implied and realized moments. We highlight, from a cross-sectional and time series perspective, the strong positive relation between commodity returns and implied skewness. Moreover, we emphasize the high performance of skewness risk premium. Additionally, we show that their portfolios exhibit the best risk-return tradeoff. Most of our results are robust to other factors such as the momentum and roll yield.

Keywords

Commodity Forecast, Implied Volatility, Implied Skewness, Risk Premium

Discipline

Agribusiness | Finance and Financial Management | Portfolio and Security Analysis

Publication

Australasian Finance and Banking Conference 31st AFBC 2018, December 13-15, Sydney

First Page

1

Last Page

46

Identifier

10.2139/ssrn.3134310

Embargo Period

3-21-2022

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.2139/ssrn.3134310

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