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
Citation
Finta, Marinela Adriana and ORNELAS, Jose Renato Haas.
Commodity return predictability: Evidence from implied variance, skewness and their risk premia. (2018). Australasian Finance and Banking Conference 31st AFBC 2018, December 13-15, Sydney. 1-46.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6972
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.3134310
Included in
Agribusiness Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons