摘要：Both market advisors and researchers have often suggested rollover hedging as a way ofincreasing producer returns. This study tests whether rollover hedging can increase expectedreturns for producers. For rollover hedging to increase expected returns, futures prices mustfollow a mean-reverting process. Using both the return predictability test based on long-horizonregression and the variance ratio test, we find that mean reversion does not exist in futuresprices for corn, wheat, soybeans, soybean oil and soybean meal. The findings are consistent withthe weak form of market efficiency. The results of the study imply that rollover hedging shouldnot be seriously considered as a marketing alternative. As long as the commodity markets areefficient, the efforts of producers to improve returns through market timing strategies will meetlimited success over time.
关键词：Rollover hedging; mean reversion; market efficiency
