Returns to storage in coffee and cocoa futures markets

A theory of negative prices for storage

“…One testable hypothesis generated by this model is that as the definition of stocks and their prices become more precise, observations of significant stockholding in times of backwardation diminish. The example of coffee, considered recently in this Journal by Thompson (1986), confirms the hypothesis.…”

The supply of storage in energy futures markets

“…Wright and Williams (1989) present an analytical model showing that inverse carrying charges can arise if reported inventory figures are calculated by aggregating similar products and the marginal transformation costs between these products are time-varying. They argue that convenience yield disappears with sufficient disaggregation and cite studies by Gary and Peck (1981) and Thompson (1986) as providing evidence consistent with this hyp~thesis.~…”

“…Evaluated at the sample mean value of 333 million barrels of crude oil, the coefficient in the crude oil equation suggests that a "Fama and French (1988) and Thompson (1986) Interest adjusted basis (IAB) for heating oil futures contracts against heating oil stock over the reduced sample period.…”

The demise of the high fructose corn syrup futures contract: A case study

“…Because speculation is less prevalent in thin markets, arbitrage, which helps generate accurate prices, is less common, and the market may not succeed. Though there are successfully traded futures contracts for documented thin cash markets, such as the sugar and cocoa futures markets, a thin cash market for a commodity can limit the success and efficient performance of a futures contract for that commodity [e.g., coffee, see Thompson (1986)l.…”