IDEAS home Printed from https://ideas.repec.org/p/ags/nccc10/285329.html
   My bibliography  Save this paper

Examining the Risk-Return Relationship between Agribusiness Stocks and the Market

Author

Listed:
  • Dorfman, Jerey H.
  • Park, Myung D.

Abstract

Volatility and the trade-off between risk and returns have been considered key components of finance theory at least since Merton's intertemporal capital asset pricing model (ICAPM, 1973). In this study, we employ several bivariate GARCH-M models to investigate Merton's ICAPM for agribusiness industries and examine the best speci_x000C_cation to use in estimating the relationship of asset returns in these industries with the broader market. The expected positive relation between stock return and its risk holds for both industries and we found a high posterior probability of a positive tradeo_x000B_ for the agricultural production portfolio.

Suggested Citation

Handle: RePEc:ags:nccc10:285329
DOI: 10.22004/ag.econ.285329
as

Download full text from publisher

File URL: https://ageconsearch.umn.edu/record/285329/files/confp03-10.pdf
Download Restriction: no
File URL: https://libkey.io/10.22004/ag.econ.285329?utm_source=ideas
LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
---><---

More about this item

Keywords

;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nccc10:285329. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.