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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. |
| In an inverted market, current prices are higher than future prices and thus the price of storage is negative. Market inversions as measured with futures spreads rarely occur during early months of the crop year. However, market inversions frequently occur across crop years and near the end of the crop year. In the last half of the crop year, market inversions clearly reflect a signal to sell stocks. Too few inversions occur early in the crop year to reach a definitive conclusion for that period. Behavioral finance offers possible explanations of why producers would hold stocks in an inverted market. |
| Tipo: Journal Article |
Palavras-chave: Convenience yield; Cost of carry; Market inversion; Marketing; Q13. |
| Ano: 2002 |
URL: http://purl.umn.edu/15077 |
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| Yoon, Byung-Sam; Brorsen, B. Wade; Lyford, Conrad P.. |
| Kernel size uniformity is an important physical quality attribute in terms of processing efficiency, quality control, and milling yield. This study developed optimal grain sorting strategies for elevators to use to increase kernel size uniformity and determined the size of potential benefits from sorting. Cluster analysis and global optimization were used to sort grain loads to increase kernel size uniformity. Cluster analysis and global optimization increased the percent flour yield relative to no sorting by 0.13% and 0.32% respectively. Cluster analysis and global optimization increased the daily milling income relative to no sorting by 105 dollars (5%) and 266 dollars (13%) respectively. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2001 |
URL: http://purl.umn.edu/36106 |
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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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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| As opposed to a normal market, an inverted market has a negative price of storage or spread. Market inversions in nearby spreads rarely occur during early months of the crop year since stocks are usually abundant after harvest. However, market inversions frequently occur when the spreads are observed across crop years near the end of the crop year. The regressions of spreads on the logarithm of U.S. quarterly stocks show that there exists a positive relationship between the spread and the level of stocks, and further implies that when stocks are scarce, markets will be inverted. Simulations are conducted to determine whether a market inversion is a signal to sell the stocks. The results of the paired-difference tests reveal that as the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2001 |
URL: http://purl.umn.edu/18962 |
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| Yoon, Byung-Sam; Brorsen, B. Wade; Lyford, Conrad P.. |
| Kernel uniformity is an important quality attribute that can now be measured at low cost. This study analyzes the profitability of sorting to increase wheat kernel uniformity. Nonlinear programming is used to sort grain loads to maximize flour yield by increasing uniformity of kernel size and kernel hardness. Results of this analysis suggest increases in flour yield due to higher kernel uniformity are not enough to outweigh the costs of sorting. |
| Tipo: Journal Article |
Palavras-chave: Crop Production/Industries. |
| Ano: 2002 |
URL: http://purl.umn.edu/31132 |
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