The weather premium in the U.S. corn market
研究发现美国玉米期货市场的天气溢价源于凸性需求函数，其大小取决于结转库存和预期收获产量，且1968-2015年数据表明12月期货价格存在可预测的误差成分，但被动做空策略无法提供有吸引力的风险调整后回报。
We show that the weather premium, an anecdotal phenomenon in the U.S. corn futures market, can arise from a convex demand function. We further show that the magnitude of the weather premium depends on the carryout and expected yield at harvest. We use data from 1968 to 2015 to evaluate the accuracy of the December futures price as a forecast of the harvest price. A predictable component in the forecast error is consistent with the existence of a time‐varying weather premium. We demonstrate that a passive strategy of routinely shorting the corn December futures does not provide an attractive risk‐adjusted return.