Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. W. Keener Hughen
Dr. I-Hsuan Ethan Chiang
Dr. Xin (Shane) Gao
This paper presents an in-depth analysis of the convenience yield determinants of corn futures. The estimated spot price and convenience yield are derived from Gibson and Schwartz’s (1990) two-factor model, and a deterministic seasonal component is added to the convenience yield. Numerous potentially novel determinants are regressed against the convenience yield while controlling for the spot price. The spot price is highly significant in all univariate regressions and is the main driver of changes in convenience yield. This research confirms the theory of storage, provides conflicting results regarding net hedging pressure, shows significant results for novel determinants, and proves that drought influences the convenience yield determinants of corn futures.
DeLong, C. R. (2021). The convenience yield determinants of corn futures. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
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