Does skewness matter to the pricing of commodity futures?

Paper designs and tests performance of new strategy in commodity futures


Investors are known to display a preference for equities with positive skews or lottery-like payoffs and an aversion to equities with negative skews or those for which the probability of large losses is higher than that of similar large gains. As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be underpriced and thus offer high expected returns. While the pattern is well documented in the equity market

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