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,430074:,,,,Cochrane2Orcutt,5,,,,,,,;,,:;;;:F830.9:A:1672-0334(2009)04-0107-08:2009-04-07:2009-07-20:(1980-),,,,:E2mail:lv_yongqi@163.com1,,,,,,,,,,,,,,,5,22.1Keynes,Keynes,,,,[1]BrennanTelser,;,,[2,3]Samuelson,[4]FamaSamuelson,[5,6]Gibson,,,,Ornstein2Uhlenbeck[7]Casassus,Schwartz[8]3[9],[9],GibsonGodbey22420098ISSN1672-0334JournalofManagementScienceVol.22No.4107-114August,2009,5,[10]2.2Heinkel,,,,,,,;,,[11],MilonasHeinkel,Black2Scholes[12]Heaney,,[13]AhmetEKocagil6,,[14]WilliamTLin,Milonas,,,Samuelson[15]ThomasAKnetsch,[16],,,Milonas,Black2Scholes,[17],[1820],,,,5,5,3BrennanTelser[2,3],,,,,(t-1),,t(t+1),S,,uSdS,t(t-1),t;,(t-1),,,,,;,,,,,St,(t-n)t,Xt=Et-n(St),Et-n(St),,,,,,,,,,,(),,,,,(t+1)(,),,(t-1),t,,(t+1),,,;,,,,,,,,()(),()801(JournalofManagementScience)20098,,,,;,,,,(),,()()(),,-,Vx=SN(d1)-FN(d2)(1),Vx,N(),F,S,d1=lnSF+22TT,d2=d1-T,T,12,=21+22-212,[21],FS45Gibson,,,[7],,,62006320086,2003420086,2002220086,200410200866,,20016200811,20047200810,6,CCER55.1,,FtT=Stexp(rtT+wtT-cytT)(2),FtTtT,Stt,rtT,wtT,cytT(2)IABt=lnStFtT+rtT=cytT-wtT(3)0,IABt=cytT-wtT=cytT(4),IABtt[22],IABtt,cytTt,wtTt(3),IABtt,,,,IABtt,(4),,1,,,0,,PP,5%,,,,,,IABt=0+1cyet+t(5),IABtt,IABt;cyett,cyet;01,t2(5),1,Wald,10%,1,419014:1Table1DescriptiveStatisticsofEstimatedConvenienceYieldandActualConvenienceYield0.0640.0380.2070.0020.0500.0520.212-0.0630.0320.0410.1620.000-0.0450.0720.162-0.2360.0680.0490.2270.0000.0570.0640.282-0.0640.0300.0320.1580.000-0.0380.0550.101-0.1920.0120.0140.0740.000-0.0370.0380.064-0.1202Table2One2orderDifferenceRegressionofActualConvenienceYieldonEstimatedConvenienceYield-0.653[0.418]-0.070[0.457]-2.630[0.401]-0.052[0.454]-0.125[0.354]1.059333[0.000]0.688333[0.000]1.475333[0.000]0.863333[0.000]1.031333[0.000]1.8452.0381.6842.1782.183:3331%4,1,1,,,,3,Co2chrane2Orcutt,33Table3RegressionofActualConvenienceYieldonEstimatedConvenienceYield(DurumWheat,CopperandStongWheat)-0.066333[0.000]-0.059333[0.000]-0.068333[0.000]0.883333[0.000]1.699333[0.000]0.667333[0.000]2.1651.6272.012,1%,1,1,1,,5.2135,13,112;5,13,,,,,,,,5.3,,Heinkel[11],011(JournalofManagementScience)200981Figure1ActualConvenienceYieldandEstimatedConvenienceYieldofSoybeanOilandCorn2Figure2ActualConvenienceYieldandEstimatedConvenienceYieldofDurumWheatandStongWheat3Figure3ActualConvenienceYieldandEstimatedConvenienceYieldofCopper(1),,,,;,,,,,,,,,,;,,1114:1,1(2),,,,,,,,,2(3),,,,,,,,,3,,MilonasKocagil[12,14],cyet=a0+a1logIt+ut(6)IABt=b0+b1logIt+b2ut+et(7)IABt=c0+c122,t+vt(8)IABt=h0+h1ACt+t(9),Itt;22,t;ACt;a0a1b0b1b2c0c1h0h1;utetvtt;ut(6),123,a10b10h10b20c10(6)(8)Cochrane2Orcuttgm,464(6)Table4RegressionofEquation(6)R20.28333[0.015]-0.016[0.174]0.002:335%5(7)Table5RegressionofEquation(7)R20.495333[0.000]-0.035333[0.000]1.697333[0.000]0.5156(8)Table6RegressionofEquation(8)R2-0.063333[0.001]0.088333[0.000]0.037-0.062333[0.000]0.120333[0.000]0.0670.02133[0.036]0.02733[0.011]0.0424,(a10),1,R2,,(7)(7)55,b1=-0.035,,1%,1b2=1.697,0R2,,6,,,3,1%,5%2,,,,Kocagil(AC)[14]AC20,AC(1)AC(5)AC(20)(8),,7211(JournalofManagementScience)200987(9)Table7RegressionofEquation(9)-0.007[0.269]-0.007[0.238]0.003[0.337]-0.005[0.320]0.002[0.392]-0.004[0.296]0.005[0.427]0.03733[0.040]0.05133[0.013],AC(1),,3AC(5),,,,3AC(20),3,5%,,,AC,,AC(1),20,36,,,(1),,,(2),,(3),,,,(4),,(5),,,(),(),,,,,,,,,:[1]JohnMaynardKeynes.ATreatiseonMoney[M].London:MacmillanPress,1930:91-93.[2]BrennanM.TheSupplyofStorage[J].AmericanE2conomicReview,1958,48(1):50-72.[3]TelserLG.FuturesTradingandtheStorageofCottonandWheat[J].JournalofPoliticalEconomy,1958,66(2):233-255.[4]SamuelsonPA.ProofthatProperlyAnticipatedPricesFluctuateRandomly[J].IndustrialManagentRe2view,1965,6(1):41-49.[5]EugeneFFama,KennethRFrench.CommodityFu2turesPrices:SomeEvidenceofForecastPower,Pre2miums,andtheTheoryofStorage[J].JournalofBusiness,1987,60(1):55-73.[6]EugeneFFama,KennethRFrench.BusinessCyclesandtheBehaviorofMetalsPrices[J].TheJournalofFinance,1988,43(5):1075-1093.[7]GibsonR,SchwartzES.StochasticConvenienceYieldandthePricingofOilContingentClaims[J].TheJour2nalofFinance,1990,45(3):959-976.[8]SchwartzES.TheStochasticBehaviorofCommodityPrices:ImplicationforValuationandHedging[J].TheJournalofFinance,1997,52(3):923-973.[9]JaimeCasassus,PierreCollin2Dufresne.ConvenienceYieldsImpliedfromInterestRatesandCommodityFutures[J].TheJournalofFinance,2005,80(5):2283-2331.[10]JonathanMGodbey,JimmyEHilliard.AdjustingStacked2hedgeRatiosforStochasticConvenienceYield:AMinimumVarianceApproach[J].QuantitativeFinance,2007,7(3):289-300.[11]HeinkelR,HoweM,HughesJS.CommodityCon2venienceYieldsasanOptionProfit[J].TheJournalofFuturesMarkets,1990,10(5):519-533.[12]NikolaosTMilonas,StavrosBThomadakis.Conven2ienceYieldsasCallOptions:AnEmpiricalAnalysis[J].TheJournalofFuturesMarkets,1997,17(1):1-15.3114:[13]RichardHeaney.ApproximationforConvenienceYieldinCommodityFuturesPricing[J].TheJournalofFuturesMarkets,2002,22(10):1005-1017.[14]AhmetEKocagil.OptionalityandDailyDynamicsofConvenienceYieldBehavior:AnEmpiricalAnalysis[J].TheJournalofFinancialResearch,2004,27(1):143-158.[15]Willia