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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. Using both the return predictability test based on long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybeans, soybean oil and soybean meal. The findings are consistent with the weak form of market efficiency. The results of the study imply that rollover hedging should not be seriously considered as a marketing alternative. As long as the commodity markets are efficient, the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Rollover hedging; Mean reversion; Market efficiency; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18938 |
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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. To test for the existence of mean reversion in agricultural commodity prices, this study uses a longer set of price data and a wider range of test procedures than past research. With the use of both the return predictability test from long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybean, soybean oil, and soybean meal. The findings are consistent with... |
| Tipo: Journal Article |
Palavras-chave: Market efficiency; Mean reversion; Random walk; Rollover hedging; Agricultural Finance; Risk and Uncertainty; Q13; G13. |
| Ano: 2005 |
URL: http://purl.umn.edu/43713 |
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