|
AgEcon Search >
Iowa State University >
Center for Agricultural and Rural Development >
CARD Working Paper Series >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/53180
|
| Title: | The Impact of Biofuels Policy on Agribusiness Stock Prices |
| Authors: | Tepe, Fatma Sine
Du, Xiaodong
Hennessy, David A. |
| Authors (Email): | Tepe, Fatma Sine (fstepe@iastate.edu)
Du, Xiaodong (xdu@iastate.edu)
Hennessy, David A. (hennessy@iastate.edu) |
| Keywords: | biofuels policy
excess stock returns
GARCH effect
linear factor model |
| Issue Date: | 2009-09 |
| Series/Report no.: | CARD Working Paper
09-WP 497 |
| Abstract: | 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 returns for seed, fertilizer and machinery companies, while the impact on meat companies is negative. The results may be interpreted as evidence that crop input suppliers gain from U.S. biofuels policy while meat processors lose. |
| URI: | http://purl.umn.edu/53180 |
| Institution/Association: | Iowa State University>Center for Agricultural and Rural Development>CARD Working Paper Series |
| Total Pages: | 22 |
| Collections: | CARD Working Paper Series
|
Files in This Item:
| File |
Description |
Size | Format |
|---|
| 09-WP_497.pdf | | 136Kb | PDF | View/Open |
|
Recommend this item
All items in AgEcon Search are protected by copyright.
|
