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Skewness and index futures return

Eric Jondeau, Xuewu Wang, Zhipeng Yan, Qunzi Zhang

Journal of Futures Markets, 2020. DOI 10.1002/fut.22112

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 failed.

Replications

• Can average skewness really predict financial returns? The euro area case, Annaert et al. (2023). Outcome recorded: failed. Although this evidence is consistent with asset pricing theory, we are not able to replicate this result on a broad sample of stock returns taken from the well-developed euro area stock markets. View paper

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