Another Look at Returns to Agricultural and Nonagricultural Assets

Bruce Bjornson · Robert D. Innes

32 citations0/0 files storedAmerican Journal of Agricultural Economics

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Agricultural economics and policies Financial Markets and Investment Strategies Agricultural Economics and Policy

Abstract

Abstract This paper presents econometric tests of whether mean returns on agricultural assets have been higher or lower than those on comparable‐risk assets in nonagricultural capital markets. The tests are based on alternate maintained hypotheses that the capital asset pricing model (CAPM) or the arbitrage pricing theory (APT) characterize nonagricultural asset returns. Results indicate that mean returns to farmer‐operators have been lower than those to owners of comparable‐risk nonagricultural assets and that mean returns to farmland owners have been higher than those to owners of comparable‐risk nonagricultural assets.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1981The relationship between return and market value of common stocks 1972The capital asset pricing model: Some empirical tests 1921Survey of current business 1981Misspecification of capital asset pricing 1980An Empirical Investigation of the Arbitrage Pricing Theory

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