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- Title
Estimating the Risk-Return Tradeoff in Agribusiness Stocks: Linkages with the Broader Stock Market.
- Authors
Dorfman, Jeffrey H.; Park, Myung D.
- Abstract
The article presents a study that examines the relation between stock risk and return for the agricultural production and food manufacturing industries in the U.S. The study uses univariate and bivariate generalized autoregressive conditional heteroskedasticity models (GARCH-M) to study the risk-return tradeoff. Results show that the sign of the risk-return tradeoff in agribusiness is not affected by volatility specification.
- Subjects
UNITED States; RATE of return on stocks; AGRICULTURAL productivity; FOOD industry; GARCH model; RISK-return relationships; MARKET volatility; AGRICULTURAL industries
- Publication
American Journal of Agricultural Economics, 2011, Vol 93, Issue 2, p426
- ISSN
0002-9092
- Publication type
Article