@article{Dorfman:285329,
      recid = {285329},
      author = {Dorfman, Jerey H. and Park, Myung D.},
      title = {Examining the Risk-Return Relationship between  Agribusiness Stocks and the Market},
      address = {2010-04},
      series = {NCCC-134 Applied Commodity Price Analysis, Forecasting,  and Market Risk Management},
      year = {2010},
      abstract = {Volatility and the trade-off between risk and returns have  been considered key components of finance theory at least  since Merton's intertemporal capital asset pricing model  (ICAPM, 1973). In this study, we employ several bivariate  GARCH-M models to investigate Merton's ICAPM for  agribusiness industries and examine the best  speci_x000C_cation to use in estimating the relationship of  asset returns in these industries with the broader market.  The expected positive relation between stock return and its  risk holds for both industries and we found a high  posterior probability of a positive tradeo_x000B_ for the  agricultural production portfolio.},
      url = {http://ageconsearch.umn.edu/record/285329},
      doi = {https://doi.org/10.22004/ag.econ.285329},
}