Lottery Effect in ETFs Across Several Asset Classes

This research aimed to examine the widely recognized Skewness Effect and the possibility of using ETFs as trading instruments. The skewness was found in many asset classes, and the ETFs could be utilized as trading instruments to exploit this effect. We examined two skewness anomalies — the short one-month and the long twelve-months skewness across two samples of commodity ETFs, sector ETFs, and country ETFs.

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