ADJUSTING THE CAPM FOR THRESHOLD EFFECTS: AN APPLICATION TO FOOD AND AGRIBUSINESS STOCKS

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dc.creatorWilson, Christine A.
dc.creatorFeatherstone, Allen M.
dc.date2017-04-01T19:24:58Z
dc.date.accessioned2026-07-09T04:01:56Z
dc.descriptionThe dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for alternative regimes and are not constant over time. Accounting for periods of temporary disequilibrium leads to notably more stable risk measurement estimates.
dc.identifierdoi:10.22004/ag.econ.28619
dc.identifierhttps://ageconsearch.umn.edu/record/28619/files/sp060008.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/28619
dc.identifier.urihttp://hdl.handle.net/123456789/543793
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/28619
dc.titleADJUSTING THE CAPM FOR THRESHOLD EFFECTS: AN APPLICATION TO FOOD AND AGRIBUSINESS STOCKS
dc.typeText

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