Is idiosyncratic asymmetry priced in commodity futures?

In this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic of commodity futures returns and find that negatively significantly predicts cross sectionally. Furthermore, long–short trading strategy based on generates significant abnormal returns, which cannot be explained by traditional risk factors in persists up 12 months. Moreover, appears priced factor with premium. Finally, confirm IE is better at capturing pricing effect than skewness measure.This article protected copyright. All rights reserved.