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The Impact of Biofuels Policy on Agribusiness Stock Prices AgEcon
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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