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Momentum Anomaly in Agriculture Financial Economics

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  • Arthur, Bruno
  • Katchova, Ani L.

Abstract

This article empirically investigates the prices and returns of the stocks of U.S. agriculture related firms for momentum anomaly. The study utilizes the decile portfolios sorting and the Fama and MacBeth cross section regression empirical methods. The main dataset is a merger of the balance sheet and income statement of firms’ data from Standard & Poor’s COMPUSTAT with the stock prices of traded U.S. agriculture related firms from the Center for research in Security Prices (CRSP). The study finds some positive abnormal returns for the stocks of the firms, albeit the returns’ are most economic and statistic significances for Micro stocks. The sort results on macroeconomic conditions appear to have minimum effects, and only for the Global financial crises period. The regressions results indicate that most momentum and size effects are driven by Micro category. The stock prices and returns of the stocks of U.S. agriculture related firms appear to concur with the efficient market hypothesis but for the Micro caps category.

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Bibliographic Info

Paper provided by Agricultural and Applied Economics Association in its series 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington with number 125275.

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Date of creation: 2012
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Handle: RePEc:ags:aaea12:125275

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Keywords: momentum anomaly stock returns; financial assets in agriculture; Agricultural Finance;

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  1. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
  2. Chan, Louis K. C. & Jegadeesh, Narasimhan & Lakonishok, Josef, 1995. "Evaluating the performance of value versus glamour stocks The impact of selection bias," Journal of Financial Economics, Elsevier, vol. 38(3), pages 269-296, July.
  3. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
  4. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  7. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
  8. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
  9. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
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