It's actually devilishly hard to strap plywood to a roof rack in a way that it won't take off in the wind (you're essentially turning your car into a giant kite) but also won't warp. It can be done.. but it's hard.
Once I needed a good amount of plywood for some cabinets. At 8 sheets and other assorted lumber I started feeling really uncomfortable mounting that much weight on my roofrack - I know the rack has a limited capacity like 100-200lbs. Would have had no issues with a proper pickup truck.
When I buy sheet steel I use a station wagon because it's easier to plop it down on a roof rack and get it off later then it is to stick it in a truck or van.