Farmland Risk-Return Characteristics and Fama-French 5 Factor Model

With an increasing number of professional entities directing their focus towards farmland investments, there has been a burgeoning interest in the distinctive risk-return profile of farmland, especially when contrasted with conventional financial assets like stocks. Building on the foundational work of scholars such as Barry (1980), who utilized the CAPM model to ascertain the marginal risk farmland contributes to a diversified portfolio, this study aims to examine if latest methodologies, such as the Fama-French five-factor model, can offer a more nuanced explanation of farmland returns or affirm the unique risk-return dynamics of farmland identified in earlier research. Additionally, this paper delves into the particular risk attributes associated with farmland, including aspects of illiquidity. It further explores the risk-return traits within the farmland investment spectrum, disaggregating the data by regional classifications.

Name thesis:degree_name

M.S., Applied Economics and Management

Level thesis:degree_level

Master of Science

Discipline thesis:degree_discipline

Applied Economics and Management

Grantor

Cornell University

Year dc:date.issued

2024

Author dc:creator

• He, Mingyu

Committee member dc:contributor.committeemember

• Jin, Jiaqi

Language dc:language.iso

en

DOI

https://doi.org/10.7298/4s71-rh55

Dc Identifier Other

ProQuest Submission ID: 12084
ProQuest Publication ID: 31242292

OAI identifier oai:identifier

oai:ecommons.cornell.edu:1813/115817