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Capital Asset Valuation Under Risk Aversion

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  • Vasavada, Utpal
  • White, Fred

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  • Vasavada, Utpal & White, Fred, 1987. "Capital Asset Valuation Under Risk Aversion," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272335, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    • Handle: RePEc:ags:rrsr87:272335
    DOI: 10.22004/ag.econ.272335
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    References listed on IDEAS

    as
    1. Flavin, Marjorie A, 1983. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 91(6), pages 929-956, December.
    2. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    3. Willis Peterson, 1986. "Land Quality and Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(4), pages 812-819.
    4. Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, vol. 71(2), pages 222-227, May.
    5. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    6. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, vol. 76(3), pages 483-498, June.
    7. Oscar R. Burt, 1986. "Econometric Modeling of the Capitalization Formula for Farmland Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 10-26.
    8. Litzenberger, Robert H & Ronn, Ehud I, 1986. "A Utility-based Model of Common Stock Price Movements," Journal of Finance, American Finance Association, vol. 41(1), pages 67-92, March.
    9. Fleisher, Beverly & Robison, Lindon J., 1985. "Applications of Decision Theory and the Measurement of Attitudes Towards Risk in Farm Management Research in Industrialized and Third World Settings," Food Security International Development Papers 54065, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    10. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    11. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    12. Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May.
    13. Emanuel Melichar, 1979. "Capital Gains versus Current Income in the Farming Sector," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(5), pages 1085-1092.
    14. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    15. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
    16. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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    Cited by:

    1. Kim, Hun & Andersson, Hans & Ramaswami, Bharat, 1988. "Land Rents And Prices An Econometric Test Of The Capitalization Formula," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270207, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Marra, Michele C., "undated". "Capital Asset Valuation Under Risk Aversion: Discussion," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272336, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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