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Master's Dissertation
DOI
https://doi.org/10.11606/D.96.2018.tde-25042018-080032
Document
Author
Full name
Gabriel Agnesini da Silveira
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2017
Supervisor
Committee
Ambrozini, Marcelo Augusto (President)
Krauter, Elizabeth
Penedo, Antonio Sérgio Torres
Sheng, Hsia Hua
Title in Portuguese
Análise da teoria da estocagem sobre a base dos contratos futuros de soja no Brasil
Keywords in Portuguese
Base
Commodities agropecuárias estocáveis
Convenience yield
Hedge
Mercado à vista e futuro
Soja
Storage
Abstract in Portuguese
O presente estudo teve como objetivo avaliar o impacto das variáveis da "Teoria da Estocagem", como custo de oportunidade e estoque, sobre a "base" dos contratos futuros de soja negociados na BM&FBOVESPA, para um período de cinco anos e com dados diários, de outubro de 2013 a março de 2017. Foi proposta uma análise semelhante à de Fama e French (1987) a qual verificou o impacto dos custos de oportunidade do capital e de uma proxy para o estoque de soja, visando capturar os custos de estocagem e o benefício de conveniência, derivados da teoria da estocagem. Verificou-se que o custo de oportunidade dos agentes de mercado impacta positivamente a base, da mesma forma, o estoque também impacta de forma positiva a base. Os resultados encontrados estão em conformidade com a teoria de estocagem proposta por Working (1949). Assim, a principal contribuição do trabalho é fornecer à literatura evidências empíricas que sustentem o comportamento da base de soja no Brasil
Title in English
Analysis of theory of storage on the "basis" of soybean futures contracts in Brazil.
Keywords in English
Agricultural Commodities
Basis
Convenience yield
Hedge
Soybean
Spot and Future Market
Storage
Abstract in English
The study aimed to evaluate the impact of the "Theory of Storage" variables based on the soybean futures contracts traded on BM&FBOVESPA for a period of five years with daily data, from October 2013 to March 2017. An analysis similar to that of Fama and French (1987) was proposed, which verified the impact of the opportunity costs of capital and a proxy for the soybean stock, aiming to capture the storage costs and the benefit of convenience, derived from the theory of storage. It was verified that the opportunity cost of market agents has a positive impact on the basis, in the same way, the stock also has a positive impact on the basis. The results found are in accordance with the "Theory of Storage" proposed by Working (1949). Thus, the main contribution of the work is to provide the literature with empirical evidence to support the behavior of the soybean basis in Brazil
 
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Publishing Date
2018-05-17
 
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