Empirical Contributions to Basis Theory: The Case of Citrus Futures
作者:
Ronald W. Ward,
Frank A. Dasse,
期刊:
American Journal of Agricultural Economics
(WILEY Available online 1977)
卷期:
Volume 59,
issue 1
页码: 71-80
ISSN:0002-9092
年代: 1977
DOI:10.2307/1239610
出版商: Oxford University Press
数据来源: WILEY
摘要:
AbstractA futures basis should reflect the marginal cost of physical product plus a risk premium less a convenience yield. However, unique market characteristics may lead to basis bias not explained by the storage theory. An estimate of the basis model for frozen orange concentrate is used to test the theory of storage and to illustrate anticipatory aspects of the basis not included in storage theory.
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