Christine Wilson () (Department of Agricultural Economics, College of Agriculture, Purdue University) Allen Featherstone () (Department of Agricultural Economics, Kansas State University)
Additional information is available for the following
registered author(s):
The 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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Purdue University, College of Agriculture, Department of Agricultural Economics in its series Working Papers with number
06-08.