Prokopczuk, Marcel and Symeonidis, Lazaros and Wese Simen, Chardin and Wichmann, Robert (2023) Convenience Yield Risk. Energy Economics, 120. p. 106536. DOI https://doi.org/10.1016/j.eneco.2023.106536
Prokopczuk, Marcel and Symeonidis, Lazaros and Wese Simen, Chardin and Wichmann, Robert (2023) Convenience Yield Risk. Energy Economics, 120. p. 106536. DOI https://doi.org/10.1016/j.eneco.2023.106536
Prokopczuk, Marcel and Symeonidis, Lazaros and Wese Simen, Chardin and Wichmann, Robert (2023) Convenience Yield Risk. Energy Economics, 120. p. 106536. DOI https://doi.org/10.1016/j.eneco.2023.106536
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 Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 29 Jan 2023 21:22 |
Last Modified: | 16 May 2024 21:41 |
URI: | http://repository.essex.ac.uk/id/eprint/34736 |
Available files
Filename: Convenience yield risk.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 4.0