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Threshold Effects In Food And Agribusiness Stock Price Markets

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  • Wilson, Christine A.
  • Featherstone, Allen M.
  • Kastens, Terry L.

Abstract

This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.

Suggested Citation

  • Wilson, Christine A. & Featherstone, Allen M. & Kastens, Terry L., 2001. "Threshold Effects In Food And Agribusiness Stock Price Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea01:20591
    DOI: 10.22004/ag.econ.20591
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    File URL: http://ageconsearch.umn.edu/record/20591/files/sp01wi03.pdf
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    References listed on IDEAS

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    1. Obstfeld, Maurice & Taylor, Alan M., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 441-479, December.
    2. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
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    4. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    5. Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
    6. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
    7. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
    8. Goodwin, Barry K. & Grennes, Thomas J. & Craig, Lee A., 2002. "Mechanical Refrigeration and the Integration of Perishable Commodity Markets," Explorations in Economic History, Elsevier, vol. 39(2), pages 154-182, April.
    9. Goodwin, Barry K. & Grennes, Thomas J., 1998. "Tsarist Russia and the World Wheat Market," Explorations in Economic History, Elsevier, vol. 35(4), pages 405-430, October.
    10. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
    11. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Keywords

    Marketing;

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