000018938 001__ 18938
000018938 005__ 20171120172920.0
000018938 037__ $$a1264-2016-101865
000018938 041__ $$aen
000018938 245__ $$aROLLOVER HEDGING
000018938 260__ $$c2000
000018938 269__ $$a2000
000018938 270__ $$myoon@okstate.edu$$pYoon,   B. Sam
000018938 270__ $$mbrorsen@okstate.edu$$pBrorsen,   B. Wade
000018938 300__ $$a15
000018938 336__ $$aConference Paper/ Presentation
000018938 446__ $$aEnglish
000018938 490__ $$a2000 Conference, Chicago, IL, April 17-18 2000
000018938 520__ $$aBoth 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 efforts of producers to improve returns through market timing strategies will meet limited success over time.
000018938 650__ $$aMarketing
000018938 6531_ $$aRollover hedging
000018938 6531_ $$amean reversion
000018938 6531_ $$amarket efficiency
000018938 700__ $$aYoon, Byung-Sam
000018938 700__ $$aBrorsen, B. Wade
000018938 8564_ $$s59225$$uhttp://ageconsearch.umn.edu/record/18938/files/cp00yo01.pdf
000018938 887__ $$ahttp://purl.umn.edu/18938
000018938 909CO $$ooai:ageconsearch.umn.edu:18938$$qGLOBAL_SET
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  Previous issue date: 2000
000018938 982__ $$gNCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2000 Conference, Chicago, IL, April 17-18 2000
000018938 980__ $$a1264