Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets
研究了不同资产类别期货收益的截面差异，发现收益与下行风险正相关、与协偏度负相关，非对称波动导致负偏收益，高协偏度和低下行贝塔的资产提供对冲但收益低，反之则需风险溢价。
Abstract This study examines the cross‐sectional variation of futures returns from different asset classes. The monthly returns are positively correlated with downside risk and negatively correlated with coskewness. The asymmetric volatility effect generates negatively skewed returns. Assets with high coskewness and low downside betas provide hedges against market downside risk and offer low returns. The high returns offered by assets with low coskewness and high downside betas are a risk premium for bearing downside risk. The asset pricing model that incorporates downside risk partially explains the futures returns. The results indicate a unified risk perspective to jointly price different asset classes.