publication . Article . 1988

Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

Louise M. Arthur; Colin A. Carter; Fay Abizadeh;
Open Access
  • Published: 01 Jan 1988 Journal: American Journal of Agricultural Economics, volume 70, pages 359-365 (issn: 0002-9092, eissn: 1467-8276, Copyright policy)
  • Publisher: Wiley
Abstract
A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing theory application because it provides a better explanation of the relationship between risk and returns than does the capital asset pricing model.
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Subjects
free text keywords: Agricultural and Biological Sciences (miscellaneous), Economics and Econometrics, Arbitrage pricing theory, Economics, Diversification (finance), Consumption-based capital asset pricing model, Investment theory, Capital asset pricing model, Rational pricing, Security market line, Risk arbitrage, Financial economics
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