Capital market segmentation and US farm real estate pricing: a study of the effects of barriers to nonfarm equity capital in agriculture
University of Wisconsin--Madison, Dept. of Agricultural Economics, 1992 - Business & Economics - 37 pages
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Amershi and Ramamurtie arbitrage assumption barriers to investment barriers to nonfarm capital in agriculture capital market equilibrium classes of assets dimensional vector economy entire period equations equity markets estimate of Jensen farm investors farm real estate financial and farm financial assets financial market group of investors historical return hold equities i-th farm real Ibbotson implicit tax rate incur in order inter-market spanning activities investment in farm Jensen Measure Journal of Financial likelihood ratio likelihood ratio test market integration market portfolio market proxy market risk Market Segmentation market wealth markets are integrated maximum likelihood estimate mean-variance efficiency non-farm investor nonfarm equity capital NYSE common stock p-values pricing in agriculture Ramamurtie 1991 real estate index real estate markets real estate sub-market regional markets restrictions imposed risk-free risk-return segmented capital market segmented market Shiha source of segmentation standard error stock industry portfolios Sub-period T-bill University of Wisconsin-Madison values and cash