Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks

The 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.

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Year of publication:	2006
Authors:	Wilson, Christine ; Featherstone, Allen
Institutions:	Department of Agricultural Economics, Purdue University
Subject:	CAPM \| Cointegration \| Risk \| Threshold

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 06-08 31 pages
Classification:	G1 - General Financial Markets ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771575