Momentum Anomaly in Agriculture Financial Economics

This article empirically investigates the prices and returns of the stocks of U.S. agriculture related firms for momentum anomaly. The study utilizes the decile portfolios sorting and the Fama and MacBeth cross section regression empirical methods. The main dataset is a merger of the balance sheet and income statement of firms’ data from Standard & Poor’s COMPUSTAT with the stock prices of traded U.S. agriculture related firms from the Center for research in Security Prices (CRSP). The study finds some positive abnormal returns for the stocks of the firms, albeit the returns’ are most economic and statistic significances for Micro stocks. The sort results on macroeconomic conditions appear to have minimum effects, and only for the Global financial crises period. The regressions results indicate that most momentum and size effects are driven by Micro category. The stock prices and returns of the stocks of U.S. agriculture related firms appear to concur with the efficient market hypothesis but for the Micro caps category.


Issue Date:
2012
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/125275
Total Pages:
32
Note:
This is a working draft. Please do not cite.




 Record created 2017-04-01, last modified 2017-08-26

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