Risk Premiums in the Cross-Section of Commodity Convenience Yields

Bollinger, Thomas; Kind, Axel

Risk Premiums in the Cross-Section of Commodity Convenience Yields

Files

Bollinger_0-319726.pdf(350.06 KB)

Date

2015

Authors

Bollinger, Thomas

Kind, Axel

Series

Working Paper Series / Department of Economics; 2015-17

Publication type

Working Paper/Technical Report

Publication status

Published

Abstract

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.

Subject (DDC)

330 Economics

Keywords

Commodity Futures, Convenience Yield, Term Structure, Risk Premiums

Cite This

ISO 690

BOLLINGER, 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>

Bibliography of Konstanz

Yes