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dc.contributor.authorOmura, A
dc.contributor.authorWest, J
dc.date.accessioned2018-11-01T22:18:02Z
dc.date.available2018-11-01T22:18:02Z
dc.date.issued2015
dc.identifier.issn1364-985X
dc.identifier.doi10.1111/1467-8489.12092
dc.identifier.urihttp://hdl.handle.net/10072/154467
dc.description.abstractWe propose that an options-based approach is a superior alternative to the traditional cost-of-carry method to model both the behaviour of convenience yields and the commodity price responses to changes in inventory levels. This approach is shown to be more robust and avoids the simplifying assumptions embedded in cost-of-carry valuation which fully accounts for the non-negativity constraint on inventory. Unlike the cost-of-carry approach, the options-based approach does not treat the convenience yield as an exogenous factor. This offers a more natural measure of implied convenience yields in commodity trading strategies. We test the relationship between convenience yields and inventory levels for a number of liquidly traded base metals using both methods. Our results show that the relationship between convenience yields and inventory levels is strongly defined under the options-based approach in line with market beliefs. This result is consistent with other studies that have used the options-based approach in other nonmetals commodity markets.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherWiley-Blackwell Publishing Asia
dc.publisher.placeUnited Kingdom
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto20
dc.relation.ispartofjournalAustralian Journal of Agricultural and Resource Economics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3502
dc.titleConvenience yield and the theory of storage: applying an option-based approach
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorOmura, Akihiro


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