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Fads Versus Fundamentals In Farmland Prices

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  • Barry FALK
  • Bong-Soo LEE

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    Abstract

    This paper develops an approach to decompose farmland price time series into three components: permanent fundamental component, temporary fundamental component, and nonfundamental component. This decomposition is useful for studying the importance of fundamental versus nonfundamental factors in explaining farmland price behavior and the dynamic response of farmland price to shocks to each of these components, among other issues. The approach is applied to annual Iowa farmland prices over the 1992-1994 sample period.

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    File URL: http://purl.umn.edu/18248
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    Bibliographic Info

    Paper provided by Iowa State University Department of Economics in its series Staff Papers with number 281.

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    Date of creation: Aug 1996
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    Handle: RePEc:isu:isuesp:281

    Note: Tables and figures are NOT included in the machine readable copy of Staff Paper 281. Contact the author for copies.
    Contact details of provider:
    Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
    Phone: +1 515.294.6741
    Fax: +1 515.294.0221
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    Web page: http://www.econ.iastate.edu
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    1. Danny Quah, 1988. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Working papers 498, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Lee, Bong-Soo, 1995. "The Response of Stock Prices to Permanent and Temporary Shocks to Dividends," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 1-22, March.
    3. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    4. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
    5. Lee, Bong-Soo, 1996. "Time-Series Implications of Aggregate Dividend Behavior," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 589-618.
    6. Campbell, John, 1991. "A Variance Decomposition for Stock Returns," Scholarly Articles 3207695, Harvard University Department of Economics.
    7. Falk, Barry L., 1991. "Formally Testing the Present Value Model of Farmland Prices," Staff General Research Papers 11093, Iowa State University, Department of Economics.
    8. Hanson, Steven D. & Myers, Robert J., 1995. "Testing for a time-varying risk premiumin the returns to U.S. farmland," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 265-276, September.
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