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Performance and risk of agricultural...

Moag, Griffin P.

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Performance and risk of agricultural assets: A time-varying approach.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Performance and risk of agricultural assets: A time-varying approach./
Author:	Moag, Griffin P.
Description:	92 p.
Notes:	Source: Masters Abstracts International, Volume: 48-02, page: 0772.
Contained By:	Masters Abstracts International48-02.
Subject:	Agriculture, General. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1469891
ISBN:	9781109436327

Performance and risk of agricultural assets: A time-varying approach.
Moag, Griffin P.

Performance and risk of agricultural assets: A time-varying approach. - 92 p.

Source: Masters Abstracts International, Volume: 48-02, page: 0772.

Thesis (M.S.)--Purdue University, 2009.

Agricultural assets have recently received increased media attention and investor interest. One of the arguments driving this interest is that agricultural asset values have very little correlation with equity markets. Previous research has shown this to be true of farmland. This study compares the risk and returns to 5 agricultural asset groups: agricultural commodities, farmland, Fertilizer and Ag Chemicals equities, Agricultural Products equities, and Packaged Foods & Meats equities over the period of 1992 -- September 2008. Flexible least Squares models are used, as unrelated research has shown that the Capital Asset Pricing model beta, a measure of an asset's systematic risk, is not constant over time. Results show that beta is not constant for any of the 5 assets over the time period studied. Consistent with previous research, farmland and agriculture commodities show little correlation with securities markets, while agricultural equities show much higher, positive beta values. Results also show that systematic risk for the fertilizer and agricultural processing equities has increased sharply in 2008. Alpha, or risk-adjusted returns, from the flexible least squares output, shows that farmland had the highest and most consistent return over the sample period. Results are most useful for investors seeking to diversify their investments into agriculture as the findings provide a more detailed analysis of anecdotal news media claims.

ISBN: 9781109436327Subjects--Topical Terms:

1017510
Agriculture, General.

Performance and risk of agricultural assets: A time-varying approach.
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100 1 $a Moag, Griffin P. $3 1677010
245 1 0 $a Performance and risk of agricultural assets: A time-varying approach.
300 $a 92 p.
500 $a Source: Masters Abstracts International, Volume: 48-02, page: 0772.
500 $a Adviser: Timothy G. Baker.
502 $a Thesis (M.S.)--Purdue University, 2009.
520 $a Agricultural assets have recently received increased media attention and investor interest. One of the arguments driving this interest is that agricultural asset values have very little correlation with equity markets. Previous research has shown this to be true of farmland. This study compares the risk and returns to 5 agricultural asset groups: agricultural commodities, farmland, Fertilizer and Ag Chemicals equities, Agricultural Products equities, and Packaged Foods & Meats equities over the period of 1992 -- September 2008. Flexible least Squares models are used, as unrelated research has shown that the Capital Asset Pricing model beta, a measure of an asset's systematic risk, is not constant over time. Results show that beta is not constant for any of the 5 assets over the time period studied. Consistent with previous research, farmland and agriculture commodities show little correlation with securities markets, while agricultural equities show much higher, positive beta values. Results also show that systematic risk for the fertilizer and agricultural processing equities has increased sharply in 2008. Alpha, or risk-adjusted returns, from the flexible least squares output, shows that farmland had the highest and most consistent return over the sample period. Results are most useful for investors seeking to diversify their investments into agriculture as the findings provide a more detailed analysis of anecdotal news media claims.
590 $a School code: 0183.
650 4 $a Agriculture, General. $3 1017510
650 4 $a Economics, Agricultural. $3 626648
650 4 $a Economics, Finance. $3 626650
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690 $a 0508
710 2 $a Purdue University. $b Agricultural Economics. $3 1020282
773 0 $t Masters Abstracts International $g 48-02.
790 1 0 $a Baker, Timothy G., $e advisor
790 1 0 $a Sherrick, Bruce J. $e committee member
790 1 0 $a Wilson, Christine $e committee member
790 $a 0183
791 $a M.S.
792 $a 2009
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