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| Tepe, Fatma Sine; Du, Xiaodong; Hennessy, David A.. |
| Corn markets are important for many industries. These include the seed, fertilizer, meat production/processing and agricultural machinery sectors, all of which are highly concentrated. Oligopoly theory suggests that corn input and field equipment suppliers likely benefit from policies that support corn markets, such as U.S. biofuels policy, while meat companies likely lose. This study investigates the impact of biofuels policy on U.S. agribusiness stock prices. Corn futures prices are found to have a structural change in November 2006, consistent with the expansion of U.S. biofuels policy support. A linear two-factor (S&P500 and corn prices) equilibrium asset pricing model is estimated on two subsamples, one before and one after the estimated change... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Biofuels policy; Excess stock returns; GARCH effect; Linear factor model.; Agribusiness; Agricultural and Food Policy; Agricultural Finance; D43; L13; Q14. |
| Ano: 2010 |
URL: http://purl.umn.edu/60987 |
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| Tepe, Fatma Sine; Du, Xiaodong; Hennessy, David A.. |
| Corn markets are important for many industries, including the seed, fertilizer, meat production/processing and agricultural machinery sectors, all of which are highly concentrated. Oligopoly theory suggests that corn input and field equipment suppliers likely benefit from policies that support corn markets, such as U.S. biofuels policy, while meat companies are likely adversely affected. Employing a linear two-factor (S&P 500 and corn prices) equilibrium asset pricing model, this study investigates the impact of biofuels policy on U.S. agribusiness and food processing firm stock prices. Conditional heteroskedasticity in stock returns is accounted for using a GARCH(1,1) model. Corn price increases are found to have positive effects on excess stock... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Biofuels policy; Excess stock returns; GARCH effect; Linear factor model; Agribusiness; Demand and Price Analysis; Resource /Energy Economics and Policy. |
| Ano: 2009 |
URL: http://purl.umn.edu/53180 |
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