On the Pitfalls of Multi‐Year Rollover Hedges: The Case of Hedge‐to‐Arrive Contracts
证明多年滚动套期保值合同在理论上无法锁定未来作物的高价，并用107年玉米市场数据验证价格理论，指出短时间序列无法预测罕见事件，对研究风险管理合同的经济学者有参考价值。
Abstract It is shown that it is theoretically infeasible for multi‐year rollover hedge‐to‐arrive contracts, and for rollover hedges in general, to succeed at locking in high current prices for crops to be harvested one or more years into the future. The study utilizes 107 years of data to present strong empirical evidence that the corn market behaves remarkably similarly to what price theory predicts. Results also confirm that short historical time series are unreliable for predicting rare events. Hence, empirical studies of risk‐management contracts capitalizing on unusual occurrences should use samples sufficiently large to contain a meaningful number of relevant observations.