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| Impact of Ranch and Market Factors on an Index of
Agricultural Holding Period Returns Author: Mark A. Sunderman, Ronald W. Spahr, John W. Birch, and Russell M. Oster Start Page: 209 Abstract: This study develops
nominal and real holding period return indices for operating ranches. The indices contain
two components, monthly ranch operating profit and capital appreciation. A regression
model that determines the effect of various attributes on total market value is used to
estimate capital appreciation, and a second model determines operating profit. The two
different ranch data series are compared with United States Long Term Government Bonds,
the S&P 500 Index and Small Capitalization Stocks. Both ranch indices show very low
correlation with the S&P 500 Index and very low or negative betas. Further, both ranch
series have excess actual nominal and real returns when compared to expected returns
determined from the Capital Asset Pricing Model. |
