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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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| Almeida,Paulo J. A. L.; Vieira,Marcus V.; Kajin,Maja; Forero-Medina,German; Cerqueira,Rui. |
| A fundamental step in the emerging Movement Theory is the description of movement paths, and the identification of its proximate and ultimate drivers. The most common characteristic used to describe and analyze movement paths is its tortuosity, and a variety of tortuosity indices have been proposed in different theoretical or empirical contexts. Here we review conceptual differences between five movement indices and their bias due to locations errors, sample sizes and scale-dependency: Intensity of Habitat use (IU), Fractal D, MSD (Mean Squared Distance), Straightness (ST), and Sinuosity (SI). Intensity of Habitat use and ST are straightforward to compute, but ST is actually an unbiased estimator of oriented search and ballistic movements. Fractal D is... |
| Tipo: Info:eu-repo/semantics/article |
Palavras-chave: Diffusion; Fractal dimension; Oriented search; Random walk; Search behaviour. |
| Ano: 2010 |
URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1984-46702010000500002 |
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