IDEAS home Printed from https://ideas.repec.org/p/ags/aaea22/335626.html
   My bibliography  Save this paper

Pricing Derivatives in the Agricultural Land Market

Author

Listed:
  • Kionka, Marlene
  • Brunckhorst, Henning
  • Kuethe, Todd H.
  • Odening, Martin

Abstract

No abstract is available for this item.

Suggested Citation

  • Kionka, Marlene & Brunckhorst, Henning & Kuethe, Todd H. & Odening, Martin, 2023. "Pricing Derivatives in the Agricultural Land Market," 2023 Annual Meeting, July 23-25, Washington D.C. 335626, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea22:335626
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/335626/files/25905.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Helbing, Georg & Shen, Zhiwei & Odening, Martin & Ritter, Matthias, 2017. "Estimating Location Values of Agricultural Land," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 66(3), September.
    2. Shiller, Robert J & Weiss, Allan N, 1999. "Home Equity Insurance," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 21-47, July.
    3. Ritter, Matthias & Hüttel, Silke & Odening, Martin & Seifert, Stefan, 2020. "Revisiting the relationship between land price and parcel size in agriculture," Land Use Policy, Elsevier, vol. 97(C).
    4. Falk, Barry L. & Lee, Bong-Soo, 1998. "Fads Versus Fundamentals in Farmland Prices," Staff General Research Papers Archive 1306, Iowa State University, Department of Economics.
    5. Barry Falk & Bong-Soo Lee, 1998. "Fads versus Fundamentals in Farmland Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(4), pages 696-707.
    6. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-137, March.
    7. David Buckle, 2022. "The Impact of Options on Investment Portfolios in the Short-Run and the Long-Run, with a Focus on Downside Protection and Call Overwriting," Mathematics, MDPI, vol. 10(9), pages 1-56, May.
    8. Fisher, Jeffrey D & Geltner, David M & Webb, R Brian, 1994. "Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 137-164, September.
    9. Susanne, Cannon & Rebel, Cole, 2011. "How Accurate Are Commercial Real Estate Appraisals? Evidence from 25 Years of NCREIF Sales Data," MPRA Paper 52621, University Library of Munich, Germany, revised 25 May 2011.
    10. Bruce J. Sherrick & Mindy L. Mallory & Timothy Hopper, 2013. "What's the ticker symbol for farmland?," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 73(1), pages 6-31, May.
    11. Tunaru, Radu S., 2017. "Real-Estate Derivatives: From Econometrics to Financial Engineering," OUP Catalogue, Oxford University Press, number 9780198742920, Decembrie.
    12. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    13. Bruce J. Sherrick & Mindy L. Mallory & Timothy Hopper, 2013. "What's the ticker symbol for farmland?," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 73(1), pages 6-31, May.
    14. Haixiao Huang & Gay Y. Miller & Bruce J. Sherrick & Miguel I. Gómez, 2006. "Factors Influencing Illinois Farmland Values," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(2), pages 458-470.
    15. Melanie Cao & Jason Wei, 2010. "Valuation of housing index derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 660-688, July.
    16. Cannon, Susanne & Col, Rebel A., 2011. "How accurate are commercial-real-estate appraisals? evidence from 25 years of NCREIF sales data," MPRA Paper 32589, University Library of Munich, Germany.
    17. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    18. Brett Olsen & Jeffrey Stokes, 2015. "Is Farm Real Estate The Next Bubble?," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 355-376, April.
    19. Allen M. Featherstone & Barry K. Goodwin, 1993. "Factors Influencing a Farmer's Decision to Invest in Long-Term Conservation Improvements," Land Economics, University of Wisconsin Press, vol. 69(1), pages 67-81.
    20. Leah J. Tsoodle & Bill B. Golden & Allen M. Featherstone, 2006. "Factors Influencing Kansas Agricultural Farm Land Values," Land Economics, University of Wisconsin Press, vol. 82(1), pages 124-139.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    2. Ritter, Matthias & Hüttel, Silke & Odening, Martin & Seifert, Stefan, 2020. "Revisiting the relationship between land price and parcel size in agriculture," Land Use Policy, Elsevier, vol. 97(C).
    3. Gong, Pu & Zou, Dong & Wang, Jiayue, 2018. "Pricing and simulation for real estate index options: Radial basis point interpolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 177-188.
    4. Ritter, Matthias & Huttel, Silke & Odening, Martin & Seifert, Stefan, 2019. "Revisiting The Relationship Between Land Price And Parcel Size," 2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia 285062, Australian Agricultural and Resource Economics Society (AARES).
    5. Gong, Pu & Dai, Jun, 2017. "Pricing real estate index options under stochastic interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 309-323.
    6. Guiling, Pam & Brorsen, B. Wade & Doye, Damona G., 2007. "How Much Influence Does Recreation Have on Agricultural Land Values?," 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama 34947, Southern Agricultural Economics Association.
    7. B. James Deaton & Chad Lawley, 2022. "A survey of literature examining farmland prices: A Canadian focus," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 95-121, June.
    8. Manish Gupta, 2012. "What factors affect hedging incentives of housing demand?," ERES eres2012_118, European Real Estate Society (ERES).
    9. Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2020. "What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(1).
    10. Pinto, Allan & Griffin, Terry W., 2022. "Detecting bubbles via single time-series variable: applying spatial specification tests to farmland values," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322534, Agricultural and Applied Economics Association.
    11. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
    12. Huettel, Silke & Odening, Martin & Kataria, Karin & Balmann, Alfons, 2013. "Price Formation on Land Market Auctions in East Germany – An Empirical Analysis," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 62(2).
    13. Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
    14. Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014. "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 177-188.
    15. Guiling, Pamela & Doye, Damona & Brorsen, B. Wade, 2009. "Why Has the Price of Pasture Increased Relative to the Price of Cropland?," Journal of the ASFMRA, American Society of Farm Managers and Rural Appraisers, vol. 2009, pages 1-13.
    16. Huettel, Silke & Odening, Martin & Kataria, Karin & Balmann, Alfons, 2013. "Price Formation on Land Market Auctions in East Germany – An Empirical Analysis," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 62(02), pages 1-17, May.
    17. Vyacheslav Mikhed & Petr Zemčík, 2009. "Testing for Bubbles in Housing Markets: A Panel Data Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 366-386, May.
    18. Cristian Voicu & Michael Seiler, 2013. "Deriving Optimal Portfolios for Hedging Housing Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 379-396, April.
    19. Hardin, Erin M. & Bryant, Henry L. & Penson, John B., Jr., 2015. "Farmland Prices: The Return of a Bubble and Opportunities for Hedging," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205630, Agricultural and Applied Economics Association.

    More about this item

    Keywords

    Agricultural Finance; Risk and Uncertainty; Research Methods/Statistical Methods;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea22:335626. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.