dc.contributor.author | Yoon, Byung-Sam | |
dc.contributor.author | Brorsen, B. Wade | |
dc.date.accessioned | 2015-10-16T20:47:47Z | |
dc.date.available | 2015-10-16T20:47:47Z | |
dc.date.issued | 2005-04 | |
dc.identifier | okds_Brorsen_JAAE_2005-04 | |
dc.identifier.citation | Yoon, B.-S., & Brorsen, B. W. (2005). Can multiyear rollover hedging increase mean returns? Journal of Agricultural and Applied Economics, 37(1), 65-78. https://doi.org/10.1017/S1074070800007100 | |
dc.identifier.uri | https://hdl.handle.net/11244/19787 | |
dc.description.abstract | 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 the futures prices for corn, wheat, soybean, soybean oil, and soybean meal. The findings are consistent with the weak form of market efficiency. Simulated trading results for 3-year rollover hedges provided additional evidence that the expected returns to the rollover hedging strategies are not statistically different from the expected returns to routine annual hedges and cash sale at harvest. | |
dc.format | application/pdf | |
dc.language | en_US | |
dc.publisher | Cambridge University Press | |
dc.rights | This material has been previously published. In the Oklahoma State University Library's institutional repository this version is made available through the open access principles and the terms of agreement/consent between the author(s) and the publisher. The permission policy on the use, reproduction or distribution of the material falls under fair use for educational, scholarship, and research purposes. Contact Digital Resources and Discovery Services at lib-dls@okstate.edu or 405-744-9161 for further information. | |
dc.title | Can multiyear rollover hedging increase mean returns? | |
osu.filename | okds_Brorsen_JAAE_2005-04.pdf | |
dc.description.peerreview | Peer reviewed | |
dc.identifier.doi | 10.1017/S1074070800007100 | |
dc.description.department | Agricultural Economics | |
dc.type.genre | Article | |
dc.type.material | Text | |
dc.subject.keywords | market efficiency | |
dc.subject.keywords | mean reversion | |
dc.subject.keywords | random walk | |
dc.subject.keywords | rollover hedging | |