发帖
雷达卡
英文文献：The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices-不便成本:现金和期货价格不趋同的投资组合方法
英文文献作者：Adjemian, Michael K.,Kuethe, Todd H.,Kunda, Eugene L.
英文文献摘要：
Cash and futures prices should reach equality, or converge, upon contract maturity. Traders can impose convergence during the delivery month through arbitrage behavior: either making or taking delivery on futures contracts. If convergence is not predictable, a futures market fails to provide a clear storage signal to potential inventory holders and reduces the attractiveness of hedging. Recent convergence problems in domestic commodity markets demonstrate the existence of persistent, significant arbitrage opportunities over the second half of the last decade. Yet, terminal elevator operators—perhaps the only participants with the capacity to do so—have not arbitraged away these riskless returns by making enough deliveries. This model demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery involves substantial opportunity costs, which stem from the loss of managerial control over warehouse space. We refer to the inconvenience of losing such control as the inconvenience cost.
在合同到期时，现金和期货价格应达到相等或一致。交易员可以通过套利行为在交割月强制趋同:要么在期货合约上交割，要么在期货合约上交割。如果趋同是不可预测的，期货市场就无法向潜在库存持有者提供明确的储存信号，从而降低了对冲的吸引力。最近国内大宗商品市场出现的趋同问题表明，在过去10年的后半期，存在着持续的、重大的套利机会。然而，终端电梯运营商——或许是唯一有能力这么做的参与者——并没有通过足够的交付来套利这些无风险的回报。该模型说明了利润最大化的仓库老板放弃可用套利的条件。我们发现，交货涉及大量的机会成本，这源于对仓库空间失去管理控制。我们把失去控制带来的不便称为不便成本。
京公网安备 11010802022788号
