Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks
AbstractThe dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for alternative regimes and are not constant over time. Accounting for periods of temporary disequilibrium leads to notably more stable risk measurement estimates.
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Bibliographic InfoPaper provided by Purdue University, College of Agriculture, Department of Agricultural Economics in its series Working Papers with number 06-08.
Length: 31 pages
Date of creation: 2006
Date of revision:
CAPM; Cointegration; Risk; Threshold;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-AGR-2006-10-28 (Agricultural Economics)
- NEP-ALL-2006-10-28 (All new papers)
- NEP-FIN-2006-10-28 (Finance)
- NEP-RMG-2006-10-28 (Risk Management)
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