Can I read SSRN Id4343846 Code2094168 on EtoBox?

SSRN Id4343846 Code2094168 by frank is a document available to read on EtoBox.

What is SSRN Id4343846 Code2094168 about?

This paper investigates the pricing of idiosyncratic asymmetry in commodity futures using a new measure, IE, which significantly predicts commodity futures returns negatively. A long/short trading strategy based on idiosyncratic asymmetry yields substantial abnormal returns, indicating that it is a priced factor with a significant risk premium. The findings extend previous research by demonstrating that idiosyncratic asymmetry is a more effective predictor than traditional skewness measures.

Author

frank

Language

EN