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Momentum Anomaly in Agriculture Financial Economics

Author

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  • Arthur, Bruno R.
  • Katchova, Ani L.

Abstract

This article empirically investigates the prices and returns of the stocks of U.S. agriculture related firms for momentum anomaly. The study utilizes the decile portfolios sorting and the Fama and MacBeth cross section regression empirical methods. The main dataset is a merger of the balance sheet and income statement of firms’ data from Standard & Poor’s COMPUSTAT with the stock prices of traded U.S. agriculture related firms from the Center for research in Security Prices (CRSP). The study finds some positive abnormal returns for the stocks of the firms, albeit the returns’ are most economic and statistic significances for Micro stocks. The sort results on macroeconomic conditions appear to have minimum effects, and only for the Global financial crises period. The regressions results indicate that most momentum and size effects are driven by Micro category. The stock prices and returns of the stocks of U.S. agriculture related firms appear to concur with the efficient market hypothesis but for the Micro caps category.

Suggested Citation

  • Arthur, Bruno R. & Katchova, Ani L., 2012. "Momentum Anomaly in Agriculture Financial Economics," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125275, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea12:125275
    DOI: 10.22004/ag.econ.125275
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    References listed on IDEAS

    as
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    Keywords

    Agricultural Finance;

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