RISK AND RETURN IN AGRICULTURE: EVIDENCE FROM AN EXPLICIT-FACTOR ARBITRAGE PRICING MODEL

Bruce Bjornson and Robert Innes ()

Journal of Agricultural and Resource Economics, 1992, vol. 17, issue 2, 21

Abstract: This article develops and estimates an explicit-factor Arbitrage Pricing Theory (APT) model in an endeavor to uncover (a) the systematic risk properties of returns to agricultural assets, (b) the relationship between agricultural returns and returns on comparable-risk nonagricultural assets, and (c) the possible relevance of agriculture-related risks in general capital markets. The article concludes that: (a) farmer-held assets have exhibited significant systematic/ factor risk over the 1963-82 estimation interval, but U.S. farmland has not exhibited such risk; (b) a grain-price index has been a priced factor in general capital markets; and (c) average returns on farmer-held assets have been significantly lower; and average returns on U.S. farmland significantly higher, than those on comparable-risk nonagricultural assets.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Date: 1992
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://ageconsearch.umn.edu/record/30946/files/17020232.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:30946

DOI: 10.22004/ag.econ.30946

Access Statistics for this article

More articles in Journal of Agricultural and Resource Economics from Western Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().