Data from: Skewness and index futures return
收藏DataCite Commons2025-06-01 更新2025-05-10 收录
下载链接：
https://datadryad.org/dataset/doi:10.5061/dryad.866t1g1n1
下载链接
链接失效反馈官方服务：
资源简介：
In this paper, we show that the individual skewness, defined as the
average of monthly skewness across firms, performs very well at predicting
the return of S\&P 500 index futures. This result holds after
controlling for the liquidity risk or for the current business cycle
conditions. We also find that individual skewness performs very well at
predicting index futures returns out-of-sample.
提供机构：
Dryad
创建时间：
2020-02-25
