Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks

Christine Wilson and Allen Featherstone

No 06-08, Working Papers from Purdue University, College of Agriculture, Department of Agricultural Economics

Abstract: The dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for alternative regimes and are not constant over time. Accounting for periods of temporary disequilibrium leads to notably more stable risk measurement estimates.

Keywords: CAPM; Cointegration; Risk; Threshold (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006
New Economics Papers: this item is included in nep-agr, nep-fin and nep-rmg
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: ADJUSTING THE CAPM FOR THRESHOLD EFFECTS: AN APPLICATION TO FOOD AND AGRIBUSINESS STOCKS (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pae:wpaper:06-08

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