Rollover Hedging and Missing Long‐Term Futures Markets
研究通过逐年滚动年度期货头寸进行长期对冲的可行性，发现大豆、玉米和棉花期货的展期在锁定3-6年初始价格上有效，但在连续多个3-6年期的常规对冲中效果不佳。
Abstract Sequential rollover of annual futures positions provides farmers or others with a means of long‐term hedging. Consequently, the absence of multiyear futures markets may not be a serious problem. However, year‐to‐year basis risk exists which can render rollovers ineffective in hedging. Evidence on soybean, corn, and cotton futures suggests that rollovers would be effective at locking in an initial price for a three‐ to six‐year period but would be ineffective in routine hedging over a series of successive three‐ to six‐year periods.