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The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test

  • Blank, Steven C.

The single index model (SIM), developed for analysis of financial assets, is assessed as a tool for evaluating the risk-return tradeoff faced in agricultural enterprise selection. This study tests whether some of the hypotheses underlying the SIM are valid when the SIM is used in agricultural cropping decisions. Empirical evidence from county level data does not support SIM hypotheses, indicating that more robust results might come from multiple index models.

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File URL: http://purl.umn.edu/32609
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Article provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.

Volume (Year): 16 (1991)
Issue (Month): 02 (December)
Pages:

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Handle: RePEc:ags:wjagec:32609
Contact details of provider: Web page: http://waeaonline.org/

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  1. Levinsohn, J. & Mackie-Mason, J.K., 1989. "A Simple, Consistent Estimate For Disturbance Components In Financial Models," Working Papers 243, Research Seminar in International Economics, University of Michigan.
  2. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(02), December.
  3. Feder, Gershon & Just, Richard E & Schmitz, Andrew, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 94(2), pages 317-28, March.
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