농업경제연구

Korean Agricultural Economics Association

제목 농산물의 가격변동에 의한 수익률과 위험 기여도 분석
저자 심송보, 한두봉, 서상택
발행정보 46권 2호 (2005년 6월) 페이지 165~179
초록 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.
논문파일 농업경제연구-2005(46권제2호)-08.pdf