2026-09-19T07:02:26Zhttps://ecommons.cornell.edu/server/oai/requestoai:ecommons.cornell.edu:1813/1158172026-05-15T19:41:20Zcom_1813_35col_1813_47
He, Mingyu
Turvey, Calum
Jin, Jiaqi
2024-11-05T19:42:37Z
2024-11-05T19:42:37Z
2024-05
ProQuest Submission ID: 12084
ProQuest Publication ID: 31242292
https://hdl.handle.net/1813/115817
https://doi.org/10.7298/4s71-rh55
16575632
44 pages
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.
en
Farmland Risk-Return Characteristics and Fama-French 5 Factor Model
dissertation or thesis
https://newcatalog.library.cornell.edu/catalog/16575632
application/pdf
Applied Economics and Management
Cornell University
Master of Science
M.S., Applied Economics and Management
https://hdl.handle.net/1813/59810.2
Publication
Cornell Theses and Dissertations
He, Mingyu
5893a6ea-7af3-41d7-abc6-04bcd26ab5df
open.access
open.access
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<Abstract>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.</Abstract>
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