About
  PDF
Full Text
(41 K)

A Marketing Strategy for Cotton Producers Based on Mean Reversion in Cotton Futures Prices

Emmett Elam


 
ABSTRACT

This study found that when the planting time price of December cotton futures was high relative to the long-term average, the harvest price would tend to be lower; and vice versa. This process is called mean reversion. Hedging/speculation strategies, devised to take advantage of mean reversion, showed significant returns in a 19-year simulation.



Reprinted from Proceedings of the 2000 Beltwide Cotton Conferences pp. 310 - 313
©National Cotton Council, Memphis TN

[Main TOC] | [TOC] | [TOC by Section] | [Search] | [Help]
Previous Page [Previous] [Next] Next Page
 
Document last modified Saturday, Jun 17 2000