IDEAS home Printed from https://ideas.repec.org/a/ags/nejare/28834.html
   My bibliography  Save this article

The Single Index Market Model In Agriculture

Author

Listed:
  • Gempesaw, Conrado M., II
  • Tambe, A.M.
  • Nayga, Rodolfo M., Jr.
  • Toensmeyer, Ulrich C.

Abstract

This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different. The stochastic coefficients model is used to show the difference in beta-risk estimates compared with the traditional fixed coefficients OLS procedure. A third estimating technique, weighted least squares/Prais Winsten method, is also proposed.

Suggested Citation

  • Gempesaw, Conrado M., II & Tambe, A.M. & Nayga, Rodolfo M., Jr. & Toensmeyer, Ulrich C., 1988. "The Single Index Market Model In Agriculture," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 17(2), pages 1-9, October.
    • Handle: RePEc:ags:nejare:28834
    DOI: 10.22004/ag.econ.28834
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/28834/files/17020147.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.28834?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
    ---><---

    References listed on IDEAS

    as
    1. S. R. Johnson, 1967. "A Re-examination of the Farm Diversification Problem," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 49(3), pages 610-621.
    2. Lopez-Pereira, Miguel A. & Lowenberg-DeBoer, J. & Baker, Timothy G., 1987. "Diversification Oppertunities For Hog Producers: A Single-Index Model Application," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 269989, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Peter J. Barry & David R. Willmann, 1976. "A Risk-Programming Analysis of Forward Contracting with Credit Constraints," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 58(1), pages 62-70.
    4. Anderson, Jock R. & Dillon, John L. & Hardaker, Brian, 1977. "Agricultural Decision Analysis," Monographs: Applied Economics, AgEcon Search, number 288652, November.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Anderson, Jock R. & Feder, Gershon, 2007. "Agricultural Extension," Handbook of Agricultural Economics, in: Robert Evenson & Prabhu Pingali (ed.), Handbook of Agricultural Economics, edition 1, volume 3, chapter 44, pages 2343-2378, Elsevier.
    7. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
    8. Robert A. Collins & Peter J. Barry, 1986. "Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 152-161.
    9. John T. Scott & Chester B. Baker, 1972. "A Practical Way to Select an Optimum Farm Plan Under Risk," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 54(4_Part_1), pages 657-660.
    10. R. W. Hutchinson & D. G. McKillop, 1988. "Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning: Comment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(1), pages 192-194.
    11. Arthur B. Kennickell & P. A. V. B. Swamy & Peter Von zur Muehlen, 1986. "Forecasting money demand with econometric models," Special Studies Papers 196, Board of Governors of the Federal Reserve System (U.S.).
    12. Persaud, Tillak & Mapp, Harry P. Jr., 1979. "Effects Of Alternative Measures Of Dispersion On Risk Efficient Farm Plans In A Motad Framework," 1979 Annual Meeting, July 29-August 1, Pullman, Washington 278200, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Roger K. Conway & Charles B. Hallahan & Richard P. Stillman & Paul T. Prentice, 1990. "Forecasting livestock prices: Fixed and stochastic coefficients estimation comparisons," Agribusiness, John Wiley & Sons, Ltd., vol. 6(1), pages 15-32.
    14. Conway, Roger K. & Hallahan, Charles B. & Stillman, Richard P. & Prentice, Paul T., 1987. "Forecasting livestock prices: fixed and stochastic coefficients estimation," Technical Bulletins 312275, United States Department of Agriculture, Economic Research Service.
    15. Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:ags:aoeisl:170464 is not listed on IDEAS
    2. Turvey, Calum Greig, 1990. "An Application Of The Single Index Model To Regional And Farm Level Risk Analysis," 1990 Annual meeting, August 5-8, Vancouver, Canada 270859, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Amegbeto, Koffi N. & Featherstone, Allen M., 1990. "Systematic and Unsystematic Risk Costs for Southeastern Kansas Farm Enterprises," Staff Papers 118181, Kansas State University, Department of Agricultural Economics.
    4. Blank, Steven C., 1993. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test: Reply," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(1), pages 1-6, July.
    5. Toth, Marian & Lancaric, Drahoslav & Piterkova, Andrea & Savov, Radovan & Rabek, Tomas, 2014. "Measuring Systematic Risk Of Unquoted Agricultural Farms," Review of Agricultural and Applied Economics (RAAE), Faculty of Economics and Management, Slovak Agricultural University in Nitra, vol. 17(1), March.
    6. Turvey, Calum Greig, 1990. "An Application of the Single Index Model to Regional and Farm Level Risk Analysis," Department of Agricultural Economics and Business 258662, University of Guelph.
    7. Xu, Feng & Prato, Tony & Lin, Cho-Min, 1994. "Evaluation of Risk for Alternative Farming Systems in Missouri," Miscellaneous Reports 257807, University of Missouri Columbia, Department of Agricultural Economics.
    8. Tóth, M. & Lančarič, D. & Piterková, A. & Savov, R., 2014. "Systematic Risk in Agriculture: A Case of Slovakia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 6(4), pages 1-9, December.
    9. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(2), pages 1-9, December.
    10. Amegbeto, Koffi N. & Featherstone, Allen M., 1992. "Risk Costs And The Choice Of Market Return Index," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(1), pages 1-8, July.
    11. Turvey, Calum G. & Baker, Timothy G., 1990. "A Pedagogic Review of the Efficient Set Mathematics Applied to Farm Operating Risk," Department of Agricultural Economics and Business 258630, University of Guelph.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(2), pages 1-9, December.
    2. Turvey, Calum G. & Driver, H.C., 1985. "An Examination of Systematic Risks in Agriculture: A Farm Sector Capital Asset Pricing Model," 1985 Annual Meeting, August 4-7, Ames, Iowa 278553, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Tanjuakio, Rodolfo V. & Gempesaw, Conrado M., II & Elterich, Joachim G., 1992. "An Optimal Control Framework For Inter - Regional Dairy Policy Analysis," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(2), pages 1-11, December.
    4. Moss, Charles B. & Ford, Stephen A. & Castejon, Mario, 1991. "Effect of Debt Position on the Choice of Marketing Strategies for Florida Orange Growers: A Risk Efficiency Approach," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 23(2), pages 103-112, December.
    5. Mumey, G.A. & Bauer, L. & Boyda, A., 1988. "An Estimate of Risk and Returns From Cropping Alternatives," Project Report Series 232065, University of Alberta, Department of Resource Economics and Environmental Sociology.
    6. Kaiser, Eddie H. & Robinson, Bobby H., 1982. "Maximizing Probability of Return as a Method to Consider Risk in Farm Planning Models," Working Papers 116879, Clemson University, Department of Agricultural and Applied Economics.
    7. Perry, Gregory M. & Rister, M. Edward & Richardson, James W. & Bessler, David A., 1989. "Incorporating Government Program Provisions into a Mean-Variance Framework," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 21(2), pages 95-105, December.
    8. Turvey, Calum Greig & Kimble, John W. & Baker, Timothy G., 1987. "Efficient Set Mathematics, the Separation Theorem, and Farm Operating Decisions," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 270094, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Dillon, Carl R., 1992. "Microeconomic Effects Of Reduced Yield Variability Cultivars Of Soybeans And Wheat," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(1), pages 1-13, July.
    10. Kashanian, Motahareh & Pishvaee, Mir Saman & Sahebi, Hadi, 2020. "Sustainable biomass portfolio sourcing plan using multi-stage stochastic programming," Energy, Elsevier, vol. 204(C).
    11. Anderson, Kim B. & Mapp, Harry P., Jr., 1996. "Risk Management Programs In Extension," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(1), pages 1-8, July.
    12. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
    13. Serrao, Amilcar & Coelho, Luis, 2004. "Cumulative Prospect Theory: A Study Of The Farmers' Decision Behavior In The Alentejo Dryland Region Of Portugal," 2004 Annual meeting, August 1-4, Denver, CO 20245, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    14. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    15. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
    16. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmón, Manuel, 2003. "Multi-Criteria Analysis Of Factors Use Level: The Case Of Water For Irrigation," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25836, International Association of Agricultural Economists.
    17. Parton, Kevin A., 2009. "Agricultural Decision Analysis: The Causal Challenge," 2009 Conference (53rd), February 11-13, 2009, Cairns, Australia 48150, Australian Agricultural and Resource Economics Society.
    18. Collins, Robert A., 1993. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test: Comment," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(1), pages 1-4, July.
    19. Rasmussen, Svend, 2003. "Criteria for optimal production under uncertainty. The state-contingent approach," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(4), pages 1-30.
    20. Berg, Ernst & Starp, Michael, 2006. "Farm Level Risk Assessment Using Downside Risk Measures," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25400, International Association of Agricultural Economists.

    More about this item

    Keywords

    Research Methods/ Statistical Methods;

    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:nejare:28834. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: https://edirc.repec.org/data/nareaea.html .

    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.