岭南学术论坛－金融学系列Seminar－相对基差（Relative Basis）

岭南学术交流会（金融学系）

报告题目：相对基差（Relative Basis）

报 告 人：康文津（上海财经大学金融学院教授、博士生导师）

主 持 人：杨炳铎（中山大学岭南学院 助理教授）

时      间：2019年11月29日（周五） 下午16:00-17:30

地      点：岭南堂汪道涵会议室

语      言：中文+英文

Abstract：

We propose a more precise measure for the convenience yield on commodity futures markets by taking the difference between the short-term basis and a similarly defined long-term basis. We label this measure “relative basis” and show that our relative basis measure is more closely related to the scarcity of inventories of individual commodities. In both Fama-MacBeth regression and portfolio sorting analysis, our relative basis measure subsumes the traditional basis measure in forecasting commodity futures returns. Interestingly, for financial futures contracts, which are not subject to physical inventory constraints, the relative basis measure is no longer a significant predictor of subsequent futures returns, whereas the return predictability from the traditional basis measure becomes more significant and important.

报告人介绍：

康文津，上海财经大学金融学院教授，兼任上海财经大学金融学院证券研究中心主任，兼上海国际金融经济研究中心研究员，在Journal of Finance，Journal of Financial Economics，Journal of Banking and Finance，Journal of Financial Markets等国际顶尖期刊发表多篇论文。

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