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![]() Title:Convenience Yield Risk Conference:CEMA2020 Tags:Basis, Commodity Risk Factors, Convenience Yield and Volatility Abstract: This paper proposes a measure of convenience yield risk that incorporates seasonality, and more than only the front slope of the term structure of commodity futures. We find that convenience yield risk predicts commodity futures returns in the cross section and the time series. The predictive power is not captured by known commodity predictors. Our measure is related to the Samuelson effect, the basis, and global financial conditions. | ||||
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