Mean reversion and autocorrelation in profitability of Illinois farms
AbstractEconomic theory implies that firms in a competitive market will adjust to long-run equilibrium levels of profitability, resulting in mean reversion of profitability. Partial adjustment models are applied to farm-level data from Illinois to test for mean reversion and autocorrelation in profitability. Results show that farm businesses revert to individual levels of expected profitability at an annual rate of 0.5, while the annual rate of negative autocorrelation is 0.175.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Agricultural Finance Review.
Volume (Year): 65 (2005)
Issue (Month): 1 (May)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
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