Prokopczuk, Marcel, Symeonidis, Lazaros, Simen, Chardin Wese and Wichmann, Robert
(2023)
Convenience yield risk.
ENERGY ECONOMICS, 120.
p. 106536.
ISSN 0140-9883, 1873-6181
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Convenience yield risk.pdf - Author Accepted Manuscript Download (515kB) | Preview |
Abstract
We develop a framework to quantify the convenience yield risk (CYR) inherent to each commodity futures market. Implementing our approach, we document that our novel CYR measure is informative about future commodity returns. In panel regressions, the CYR predicts future returns with a positive sign. Economically, a strategy that opens long positions in commodity markets with a higher than median CYR signal and sells the remaining commodities yields an average return of 6.93% per year. The performance of the CYR strategy cannot be explained by exposure to existing commodity strategies or other variables that capture changes in the investment opportunity set.
| Item Type: | Article |
|---|---|
| Additional Information: | Source info: Energy Economics, Forthcoming |
| Uncontrolled Keywords: | Commodity risk factors, Convenience yield, Futures curve, Return predictability |
| Divisions: | Faculty of Humanities and Social Sciences > School of Management |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 31 Jan 2023 08:30 |
| Last Modified: | 06 Dec 2024 19:54 |
| DOI: | 10.1016/j.eneco.2023.106536 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3167957 |
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