To hold or not to hold inventory, evolution of the convenience yield / Marc PETITMENGIN / 2016

Titre : To hold or not to hold inventory, evolution of the convenience yield Type de document : Mémoire Auteurs : Marc PETITMENGIN Année de publication : 2016 Importance : 69 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management MATIERE PREMIERE ; ACTION ; INVENTAIRE ; PETROLE ; GAZ ; METAL PRECIEUX Résumé : Since the beginning of the 21st century, many investors rushed in the commodity market thinking of it as a simple extension of the equity market with commodities behaving like equities. However, commodities being real assets their prices used to be linked to the amount of the real underlying available, and within these prices was present the convenience yield, a yield corresponding to the return accruing to the owner of the physical inventory but not to the owner of a contract for future delivery. This essay tends to determine if this convenience yield is still linked to the inventory of the underlying, i.e. if the convenience yield still has a sense. The first element proved in this study is the mathematical evidence of the convenience yield, the way to determine it using the cash and carry formula for finally ending with a formula allowing to determine it using elements quoted by the market. Its existence being demonstrated, we then calculate it for several commodities to study its correlation with the actual level of inventory. This analysis is divided by the type of commodity studied: Oil & Gas, Precious Metals, Industrial Metals and Agricultural Commodity. The result is a strong correlation for Industrials Metals, a correlation between the change in inventory and the convenience yield for Oil & Gas, the conclusion that Gold is no longer a commodity and a blurred correlation concerning Agricultural Commodities, the US being unable to rely only on its own inventory for this type of commodities. This conclusion also aim to remember us that this quoted convenience is for theory only, each company having its own convenience yield. Programme : PGE-Rouen Spécialisation : Finance et Gestion Internationales Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=227299