摘要：As opposed to a normal market, an inverted market has a negative price ofstorage or spread. Market inversions in nearby spreads rarely occur during early monthsof the crop year since stocks are usually abundant after harvest. However, marketinversions frequently occur when the spreads are observed across crop years near theend of the crop year. The regressions of spreads on the logarithm of U.S. quarterly stocksshow that there exists a positive relationship between the spread and the level of stocks,and further implies that when stocks are scarce, markets will be inverted. Simulations areconducted to determine whether a market inversion is a signal to sell the stocks. Theresults of the paired-difference tests reveal that as the crop cycle advances towards theend of the crop year, market inversions clearly reflect the market's signal to releasestocks in anticipation of new crop supplies. The regressions of actual returns to storageon predicted returns to storage clearly show that a market inversion is a signal to sell.The results support the behavioral finance hypothesis that producers are choosing tohold excess stocks because of some type of biased expectations.
关键词：convenience yield; cost of carry; market inversion; negative price of storage;risk premium
