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Risk Costs And The Choice Of Market Return Index

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Author Info

  • Amegbeto, Koffi N.
  • Featherstone, Allen M.

Abstract

Six measures of returns are used to estimate the most "“appropriate"” market index for southeast Kansas farms. Results suggest that localized indices are more appropriate than state indices for use as the market index. The appropriate index was used to estimate systematic and nonsystematic risk and risk costs for farm planning. Estimated risks depend on the choice of market index, whereas risk costs depend on the index choice and the risk aversion are considered. More risk-averse specialized farmers are not completely compensated for risk.

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File URL: http://purl.umn.edu/30732
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Bibliographic Info

Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 17 (1992)
Issue (Month): 01 (July)
Pages:

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Handle: RePEc:ags:jlaare:30732

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Web page: http://waeaonline.org/
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Related research

Keywords: Farm Management; Risk and Uncertainty;

References

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  1. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
  2. Gempesaw, Conrado M., II & Tambe, A.M. & Nayga, Rodolfo M., Jr. & Toensmeyer, Ulrich C., 1988. "The Single Index Market Model In Agriculture," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 17(2), October.
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Citations

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Cited by:
  1. T Heikkinen & K Pietola, 2006. "Rural Investment and the Cost of Income Uncertainty," ERSA conference papers ersa06p51, European Regional Science Association.
  2. Heikkinen, T. & Pietola, K., 2009. "Investment and the dynamic cost of income uncertainty: The case of diminishing expectations in agriculture," European Journal of Operational Research, Elsevier, vol. 192(2), pages 634-646, January.
  3. Blank, Steven C., 1993. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test: Reply," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(01), July.

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