A Dynamic Analysis of Land Prices

Jean-Paul Chavas () and Alban Thomas

American Journal of Agricultural Economics, 1999, vol. 81, issue 4, 772-784

Abstract: A dynamic model of land prices is developed. It derives arbitrage asset prices under nonadditive dynamic preferences, risk aversion, and transaction costs. The model nests as special cases risk neutrality, time-additive preferences, the static capital asset pricing model (CAPM), as well as the dynamic consumption-based CAPM. The model is applied to the analysis of U.S. land prices for the period 1950–96. The econometric results provide evidence showing that U.S. land price patterns are inconsistent with risk neutrality or with the static CAPM model. No strong evidence was found against time-additive preferences. The econometric findings indicate that both risk aversion and transaction costs have significant effects on land prices. Copyright 1999, Oxford University Press.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://hdl.handle.net/10.2307/1244323 (application/pdf)
Access to full text is restricted to subscribers.

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:oup:ajagec:v:81:y:1999:i:4:p:772-784

Access Statistics for this article

American Journal of Agricultural Economics is currently edited by Madhu Khanna, Brian E. Roe, James Vercammen and JunJie Wu

More articles in American Journal of Agricultural Economics from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().