@article{D'Antoni:143080,
      recid = {143080},
      author = {D'Antoni, Jeremy M. and Detre, Joshua D.},
      title = {Determining the Nature of Dependency between Agribusiness  and Non-Agribusiness Stocks},
      address = {2013},
      number = {1373-2016-109157},
      pages = {19},
      year = {2013},
      abstract = {During the financial downturn of 2008, asset classes that  investors traditionally found to have low correlation with  U.S. stocks became more highly correlated at the most  inopportune time. Post-downturn, investors increasingly  looked for alternative assets that offer diversification  benefits, one of which being farmland. One of the  challenges of investing in farmland is that the asset is  not a securitized, low-cost investment. The current  research investigates the whether exposure to farmland via  an index of agribusiness stocks provides significant  diversification benefits. We estimated the dependence  between daily returns of the S&P 500 and an index of  agribusiness stocks from 1970 through 2008 using copulas.  We find significant evidence that agribusiness stocks have  strong lower tail dependence with large U.S. stocks and are  actually less correlated in the upper tail of the  distribution. Meaning, the agribusiness index moves in near  lockstep with U.S. stocks in downturns and more  independently in large upswings. This provides little  evidence to support the investment strategy of purchasing  agribusiness stocks broadly to gain exposure to farmland.},
      url = {http://ageconsearch.umn.edu/record/143080},
      doi = {https://doi.org/10.22004/ag.econ.143080},
}