@article{Yoon:18938,
      recid = {18938},
      author = {Yoon, Byung-Sam and Brorsen, B. Wade},
      title = {ROLLOVER HEDGING},
      address = {2000},
      number = {1264-2016-101865},
      series = {2000 Conference, Chicago, IL, April 17-18 2000},
      pages = {15},
      year = {2000},
      abstract = {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 efforts of producers  to improve returns through market timing strategies will  meet limited success over time.},
      url = {http://ageconsearch.umn.edu/record/18938},
      doi = {https://doi.org/10.22004/ag.econ.18938},
}