Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights
研究了三种多因素大宗商品价格模型对自然资源投资估值的影响，发现模型假设差异可导致估值平均相差40%、个别超60%，且差异随投资期限和内在价值增加，对石油、铜等生产性资源行业决策者尤为重要。
Abstract We focus on factors that drive the dynamics of commodity prices. We highlight the capital budgeting implications of three highly‐cited, nested, multi‐factor models for commodity prices that have been successful in empirical investigations. Competing assumptions regarding commodity prices and their convenience yields can account for differences close to 40% on average, and in excess of 60% in cases, in the valuation of typical natural resource investments. These value differences are found to increase with the maturity and the intrinsic value of the investment, and also with the level and the volatility of the resource's convenience yield. Resources such as oil or copper, that are used for production purposes, usually exhibit high and volatile convenience yields; thus our findings should be more relevant for decision‐makers in such sectors.