Agricultural products are much riskier than any other assets. Have agricultural products and assets been appropriately reimbursed to their risk? To answer this question, this study investigates the relationship between risk and rate of returns by the CAPM model. The purpose of this study is to investigate the variation of risks in agricultural products over time. For this purpose, this study analyzes the excess rate of returns using a time varying parameter method to estimate the variation of excess rate of return over the sample period and also estimates betas of agricultural products by constructing agricultural market portfolio.