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Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

Author

Listed:
  • Louise M. Arthur
  • Colin A. Carter
  • Fay Abizadeh

Abstract

A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing theory application because it provides a better explanation of the relationship between risk and returns than does the capital asset pricing model.

Suggested Citation

  • Louise M. Arthur & Colin A. Carter & Fay Abizadeh, 1988. "Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(2), pages 359-365.
    • Handle: RePEc:oup:ajagec:v:70:y:1988:i:2:p:359-365.
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    File URL: http://hdl.handle.net/10.2307/1242076
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    Citations

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    Cited by:

    1. Johnson, R.W.M., 1992. "Risk and the Farm Firm: A Corporate Finance View," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 60(01), pages 1-13, April.
    2. Dehong Gu, 1996. "Capital Asset Pricing And Agricultural Assets In England And Wales," Journal of Agricultural Economics, Wiley Blackwell, vol. 47(1‐4), pages 99-108, January.
    3. Justyna Franc-Dąbrowska & Magdalena Mądra-Sawicka & Joanna Bereżnicka, 2018. "Cost of Agricultural Business Equity Capital—A Theoretical and Empirical Study for Poland," Economies, MDPI, vol. 6(3), pages 1-15, June.
    4. Bjornson, Bruce & Innes, Robert, 1992. "Risk And Return In Agriculture: Evidence From An Explicit-Factor Arbitrage Pricing Model," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(2), pages 1-21, December.
    5. Miller, Lynn H. & Sherrick, Bruce J., 1991. "An Examination Of Farm Real Estate Return Definitions. Inflationary Effects, And The Riskiness Of Nonland Farm Equity," Illinois Agricultural Economics Staff Paper 244668, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    6. Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2011. "Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities," MPRA Paper 122420, University Library of Munich, Germany.
    7. Li, Xin, 2016. "The Farmland Valuation Revisited," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 4(2), pages 1-14, April.
    8. Adelman, Irma & Berck, Peter, 1991. "Financial considerations of public inventory holdings in developing countries," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8s35927w, Department of Agricultural & Resource Economics, UC Berkeley.
    9. Dahl, Cody P. & Gunderson, Michael A. & Moss, Charles B., 2011. "Assessing the Rationality of Farmland Price Movements," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103827, Agricultural and Applied Economics Association.
    10. Russo, Carlo & Sabbatini, Massimo, 2005. "Incentives to Efficient Investment Decisions in Agricultural Cooperatives," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24455, European Association of Agricultural Economists.
    11. Shiha, Amr N. & Chavas, Jean-Paul, 1992. "Capital Market Segmentation and US Farm Real Estate Pricing: A Study of the Effects of Barriers to Nonfarm Equity Capital in Agriculture," Staff Papers 200559, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    12. Feng, Xiaoguang, 2017. "Three essays on agricultural insurance and farm real estate investment," ISU General Staff Papers 201701010800007133, Iowa State University, Department of Economics.
    13. Adelman, Irma & Berck, Peter, 1991. "Financial considerations of public inventory holdings in developing countries," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8s35927w, Department of Agricultural & Resource Economics, UC Berkeley.

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