Publikation:

Risk Premiums in the Cross-Section of Commodity Convenience Yields

Lade...
Vorschaubild

Dateien

Bollinger_0-319726.pdf
Bollinger_0-319726.pdfGröße: 350.06 KBDownloads: 565

Datum

2015

Autor:innen

Bollinger, Thomas

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Auflagebezeichnung

DOI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published

Erschienen in

Zusammenfassung

This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on convenience-claim investments. The analysis is conducted in two steps. First, monthly convenience yields are extracted from a broad sample of commodity futures by using a three-factor model. Second, a multi-factor asset pricing model with conditional betas is estimated to determine risk premiums embedded in convenience-claim returns. The empirical analysis is carried out on monthly cross-sections of 22 commodities in the period from January 1991 to December 2011. It reveals the existence of significant premiums embedded in convenience yields for systematic risk factors typically related to other asset classes. While the predictability of the risk premiums via instrumental variables is limited, changes in conditional betas are found to forecast variations in convenience yields.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Commodity Futures, Convenience Yield, Term Structure, Risk Premiums

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690BOLLINGER, Thomas, Axel KIND, 2015. Risk Premiums in the Cross-Section of Commodity Convenience Yields
BibTex
@techreport{Bollinger2015Premi-32771,
  year={2015},
  series={Working Paper Series / Department of Economics},
  title={Risk Premiums in the Cross-Section of Commodity Convenience Yields},
  number={2015-17},
  author={Bollinger, Thomas and Kind, Axel}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/32771">
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-02-01T09:44:31Z</dc:date>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/32771/3/Bollinger_0-319726.pdf"/>
    <dc:language>eng</dc:language>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:contributor>Bollinger, Thomas</dc:contributor>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/32771/3/Bollinger_0-319726.pdf"/>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/32771"/>
    <dc:creator>Kind, Axel</dc:creator>
    <dc:rights>terms-of-use</dc:rights>
    <dc:creator>Bollinger, Thomas</dc:creator>
    <dc:contributor>Kind, Axel</dc:contributor>
    <dcterms:issued>2015</dcterms:issued>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:abstract xml:lang="eng">This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on convenience-claim investments. The analysis is conducted in two steps. First, monthly convenience yields are extracted from a broad sample of commodity futures by using a three-factor model. Second, a multi-factor asset pricing model with conditional betas is estimated to determine risk premiums embedded in convenience-claim returns. The empirical analysis is carried out on monthly cross-sections of 22 commodities in the period from January 1991 to December 2011. It reveals the existence of significant premiums embedded in convenience yields for systematic risk factors typically related to other asset classes. While the predictability of the risk premiums via instrumental variables is limited, changes in conditional betas are found to forecast variations in convenience yields.</dcterms:abstract>
    <dcterms:title>Risk Premiums in the Cross-Section of Commodity Convenience Yields</dcterms:title>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-02-01T09:44:31Z</dcterms:available>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen