The impact of deviations from soybean product crushing estimates on return and risk
研究豆粕和豆油市场价格与物理压榨所得产量之间的差异如何影响这些商品的收益和波动性，发现偏差与收益负相关、与波动正相关，对理解收益、对冲比率和投资组合方差有重要意义。
Abstract This study explores how differences in market yields of soymeal and soyoil, as derived from market prices compared to those obtained through the physical process of crushing soybeans, impact the returns and volatilities of these commodities. Positive (negative) deviations are associated with negative (positive) changes in return. Additionally, these deviations positively correlate with return volatility, suggesting that variations from the expected yields lead to price shifts and heightened return volatility. In summary, deviations from the crushing estimates significantly shape the modeling of soybean commodity returns and volatilities, with implications for understanding returns, hedging ratios, and portfolio return variance.