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.

This excel document contains the main data for the paper: "Skewness and Index Futures Return".

The Matlab code for result replication is available at Qunzi Zhang's website:

https://sites.google.com/site/zhangqunzi/